Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Econometric analysis of realized volatility and its use in estimating stochastic volatility models Summary. The availability of intraday data on the prices of speculative assets means that we can use quadratic variation‐like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation‐intensive methods. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of the Royal Statistical Society: Series B (Statistical Methodology) Wiley

Econometric analysis of realized volatility and its use in estimating stochastic volatility models

Loading next page...
 
/lp/wiley/econometric-analysis-of-realized-volatility-and-its-use-in-estimating-NZrJrH0lJc
Publisher
Wiley
Copyright
Copyright © 2002 Wiley Subscription Services
ISSN
1369-7412
eISSN
1467-9868
D.O.I.
10.1111/1467-9868.00336
Publisher site
See Article on Publisher Site

Abstract

Summary. The availability of intraday data on the prices of speculative assets means that we can use quadratic variation‐like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error—the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation‐intensive methods.

Journal

Journal of the Royal Statistical Society: Series B (Statistical Methodology)Wiley

Published: Jan 1, 2002

Keywords: ; ; ; ; ; ; ; ; ;

References

  • ARCH models
    Bollerslev, T.; Engle, R. F.; Nelson, D. B.
  • Estimating stochastic volatility diffusion using conditional moments of integrated volatility
    Bollerslev, T.; Zhou, H.
  • The relation between implied and realized volatility
    Christensen, B. J.; Prabhala, N. R.
  • Cointegration, Causality, and Forecasting: a Festschrift in Honour of Clive W. J. Granger
    Engle, R. F.; Lee, G. G. J.
  • Stochastic volatility as hidden Markov models and statistical applications
    Genon‐Catalot, V.; Jeantheau, T.; Larédo, C.
  • Indirect inference
    Gourieroux, C.; Monfort, A.; Renault, E.

You’re reading a free preview. Subscribe to read the entire article.


DeepDyve is your
personal research library

It’s your single place to instantly
discover and read the research
that matters to you.

Enjoy affordable access to
over 18 million articles from more than
15,000 peer-reviewed journals.

All for just $49/month

Explore the DeepDyve Library

Search

Query the DeepDyve database, plus search all of PubMed and Google Scholar seamlessly

Organize

Save any article or search result from DeepDyve, PubMed, and Google Scholar... all in one place.

Access

Get unlimited, online access to over 18 million full-text articles from more than 15,000 scientific journals.

Your journals are on DeepDyve

Read from thousands of the leading scholarly journals from SpringerNature, Elsevier, Wiley-Blackwell, Oxford University Press and more.

All the latest content is available, no embargo periods.

See the journals in your area

DeepDyve

Freelancer

DeepDyve

Pro

Price

FREE

$49/month
$360/year

Save searches from
Google Scholar,
PubMed

Create lists to
organize your research

Export lists, citations

Read DeepDyve articles

Abstract access only

Unlimited access to over
18 million full-text articles

Print

20 pages / month

PDF Discount

20% off