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A comparative study of alternative extreme-value volatility estimators

✍ Scribed by Turan G. Bali; David Weinbaum

Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
147 KB
Volume
25
Category
Article
ISSN
0270-7314

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✦ Synopsis

Recent advances in econometric methodology and newly available sources of data are used to examine empirically the performance of the various extreme-value volatility estimators that have been proposed over the past two decades. Overwhelming support is found for the use of extreme-value estimators when computing daily volatility measures across all assets: Daily extreme-value volatility estimators are both less biased and substantially more efficient than the traditional close-to-close estimator. In the case of weekly and monthly measures, the results still suggest that extreme-value estimators are appropriate, but the evidence is more mixed.

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