A realised volatility measurement using quadratic variation and dealing with microstructure effects

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dutoit_realised_2006.pdf(228.27 KB)
Date
2006
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Publisher
Operations Research Society of South Africa
Abstract
ENGLISH SUMMARY : A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatility measurement is defined and relevant theoretical results are derived. Finally simulation results are used to evaluate these three volatility measurements.
Description
CITATION: Du Toit, C. & Conradie, W. J. 2006. A realised volatility measurement using quadratic variation and dealing with microstructure effects. ORiON, 22(2):117-129, doi:10.5784/22-2-38.
The original publication is available at http://orion.journals.ac.za
Keywords
Realised volatility measurement, Microstructure effects, Stylised facts, Nonparametric statistics
Citation
Du Toit, C. & Conradie, W. J. 2006. A realised volatility measurement using quadratic variation and dealing with microstructure effects. ORiON, 22(2):117-129, doi:10.5784/22-2-38
URI
http://hdl.handle.net/10019.1/21661
Collections
Research Articles (Statistics and Actuarial Science)