Asymptotic Theory for Renewal Based High-Frequency Volatility Estimation

2018 ◽  
Author(s):  
Yifan Li ◽  
Ingmar Nolte ◽  
Sandra Nolte (Lechner)
Keyword(s):  
High Frequency ◽  
Asymptotic Theory ◽  
Volatility Estimation

scholarly journals Bivariate Volatility Modeling with High-Frequency Data

Econometrics ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 41 ◽  
Author(s):  
Matei ◽  
Rovira ◽  
Agell
Keyword(s):  
High Frequency ◽  
Mathematical Structure ◽  
Conditional Variance ◽  
High Frequency Data ◽  
Conditional Heteroskedasticity ◽  
Frequency Data ◽  
Volatility Estimation ◽  
Structure Information ◽  
Volatility Modeling ◽  
Bivariate Models

We propose a methodology to include night volatility estimates in the day volatility modeling problem with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity (GARCH) framework, which takes advantage of the natural relationship between the realized measure and the conditional variance. This improves volatility modeling by adding, in a two-factor structure, information on latent processes that occur while markets are closed but captures the leverage effect and maintains a mathematical structure that facilitates volatility estimation. A class of bivariate models that includes intraday, day, and night volatility estimates is proposed and was empirically tested to confirm whether using night volatility information improves the day volatility estimation. The results indicate a forecasting improvement using bivariate models over those that do not include night volatility estimates.

Volatility Estimation Based on High-Frequency Data

2011 ◽  
pp. 335-369 ◽  
Author(s):  
Christian Pigorsch ◽  
Uta Pigorsch ◽  
Ivaylo Popov
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Volatility Estimation

scholarly journals Ultra high frequency volatility estimation with dependent microstructure noise

2011 ◽  
Vol 160 (1) ◽  
pp. 160-175 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Per A. Mykland ◽  
Lan Zhang
Keyword(s):  
High Frequency ◽  
Microstructure Noise ◽  
Volatility Estimation ◽  
Ultra High Frequency
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