A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Peter Reinhard Hansen; Asger Lunde

doi:10.1093/jjfinec/nbi028

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

Forfattere:

Hansen, Peter Reinhard ;
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Stanford University
Lunde, Asger
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0000-0002-0805-0892
unknown

DOI:

10.1093/jjfinec/nbi028

Resumé:

We consider the problem of deriving an empirical measure of daily integrated variance (IV) in the situation where high-frequency price data are unavailable for part of the day. We study three estimators in this context and characterize the assumptions that justify their use. We show that the optimal combination of the realized variance and squared overnight return can be determined, despite the latent nature of IV, and we discuss this result in relation to the problem of combining forecasts. Finally, we apply our theoretical results and construct four years of daily volatility estimates for the 30 stocks of the Dow Jones Industrial Average.

Type:

Tidsskrift-artikel

Sprog:

Engelsk

Udgivet i:

Journal of Financial Econometrics, 2005, Vol 3, Issue 4, p. 525-554

Emneord:

High-frequency data; Market microstructure noise; Realized variance

Hovedforskningsområde:

Social science

Publikationsstatus:

Publiceret

Review type:

Peer Review

Indberetningsår:

2005

Videnskabeligt niveau:

Videnskabelig

ID:

35822045

A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data

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