Realized daily variance of S&P 500 cash index: A revaluation of stylized facts

• Main Authors: HUANG, Shirley, LIU, Qianqiu, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2007
• Subjects: High frequency data; Integrated variance; Microstructure noise; GARCH; Stochastic volatility; Long range dependence; Intertemporal CAPM; Finance; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/soe_research/2047; https://ink.library.smu.edu.sg/context/soe_research/article/3046/viewcontent/aef080103.pdf

In this paper the realized daily variance is obtained from intraday transaction prices of the S&P 500 cash index over the period from January 1993 to December 2004. When constructing realized daily variance, market microstructure noise is taken into account using a technique proposed by Zhang, M...