Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods
We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carl...
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| المؤلفون الرئيسيون: | , |
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| التنسيق: | text |
| اللغة: | English |
| منشور في: |
Institutional Knowledge at Singapore Management University
2013
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/soe_research/1476 https://ink.library.smu.edu.sg/context/soe_research/article/2475/viewcontent/2011___02___estimation_of_monthly_volatility.pdf |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |