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Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Peter

Authors

YANG ZU yang.zu@nottingham.ac.uk
Assistant Professor

Peter Boswijk h.p.boswijk@uva.nl



Abstract

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the
scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator.

Journal Article Type Article
Publication Date Aug 1, 2014
Journal Journal of Econometrics
Print ISSN 0304-4076
Electronic ISSN 0304-4076
Publisher Elsevier
Peer Reviewed Peer Reviewed
Volume 181
Issue 2
APA6 Citation Zu, Y., & Boswijk, P. (2014). Estimating spot volatility with high-frequency financial data. Journal of Econometrics, 181(2), https://doi.org/10.1016/j.jeconom.2014.04.001
DOI https://doi.org/10.1016/j.jeconom.2014.04.001
Keywords Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection
Publisher URL http://www.sciencedirect.com/science/article/pii/S0304407614000608
Copyright Statement Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0

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Copyright Statement
Copyright information regarding this work can be found at the following address: http://creativecommons.org/licenses/by-nc-nd/4.0





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