Realized volatility estimation: new simulation approach and empirical study results
Анотація
Abstract:- The paper empirically investigates several daily volatility estimators for the DAX index. Realized volatility is computed by means of standard, Parkinson, Garman-Klass estimators, which use the daily data samples, and also Andersen estimator based on the intraday information observed over time intervals of different sizes. A Monte Carlo simulation is conducted for two cases of underlying security fluctuation – the diffusion process and the process based on the “telegrapher ” process; the theoretical results are compared with volatility values obtained from the studied estimators. Key-Words:- realized volatility, Monte Carlo simulation, range estimators, geometric Brownian motion,
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