A statistical comparison of stock index volatility estimates using open, high, low and close prices (CROSBI ID 639720)
Prilog sa skupa u zborniku | sažetak izlaganja sa skupa | međunarodna recenzija
Podaci o odgovornosti
Arnerić, Josip ; Čeh Časni, Anita ; Šoštarić, Antonio
engleski
A statistical comparison of stock index volatility estimates using open, high, low and close prices
In this paper we compare volatility estimates using a combination of open, high, low and close (OHLC) price information against realized volatility estimates using intraday data. The latter estimates can be considered unbiased in the absence of microstructure noise and intraday autocorrelation. Competing estimators using OHLC prices are assessed from a statistical perspective using (a) a set of loss functions to gauge the precision and (b) time series of conditional correlations resulting from a MGARCH(1, 1) model which enables an analysis of the direction and magnitude of the models. The results associated with an application to the Croatian index indicate that only the Parkinson and the Yang and Zhang estimators outperform the simple close-to-open and the close-to-close estimators, which is largely comparable to the standard deviation of returns. By adding a simple extension for overnight returns to the estimators an overall increase in conditional correlations over time is noted and at the same time the unbiased loss functions decrease. Amongst the representative subset of the universe of OHLC volatility estimators analyzed the extended Parkinson’s range based estimator shows the least biased results. The analysis shows consistent results during different time horizons taking into account the increased market volatility during the credit crisis in 2007 and 2008, but also the period with low volatility prior to the crisis.
Volatility Estimator; Realized Volatility; High Frequency Volatility; Open-High-Low-Closing Prices
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Podaci o prilogu
2016.
objavljeno
Podaci o matičnoj publikaciji
Book of abstracts 16th International Conference on Operational Research KOI 2016
Scitovski, R ; Zekić-Sušac, M.
Osijek: Hrvatsko društvo za operacijska istraživanja (CRORS)
Podaci o skupu
16th International Conference on Operational Research - KOI 2016
predavanje
27.09.2016-29.09.2016
Osijek, Hrvatska