monash_6922.pdf (495.21 kB)
Estimating Daily Volatility from Intraday Data
journal contribution
posted on 2017-06-08, 01:41 authored by Bollen, Bernard, Kofman, PaulThis study proposes a new approach to the estimation of daily volatility. This approach is efficient (in the sense of using all available intraday price data) and unbiased (in the sense of accounting for the high levels of autocorrelation found in intraday price data). Empirical analysis of this new estimator on All Ordinaries Index Futures shows that it is less biased and more efficient than traditional volatility estimators. Furthermore this new approach confirms the GARCH(1,1) specification of the time series behaviour of daily volatility; namely that daily volatility follows an ARMA( 1,1) process through time.
History
Year of first publication
1996Series
Department of Econometrics.Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC