Estimating Daily Volatility From Intraday Data

This 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.


Issue Date:
Sep 01 1996
Publication Type:
Working or Discussion Paper
Language:
English
Total Pages:
23
Series Statement:
Working Paper 13/96




 Record created 2018-02-06, last modified 2018-02-07

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