CXO

Finite Sample Results Of Range-Based Integrated Volatility Estimation

Date Added: Oct 2009
Format: PDF

This paper considers the finite-sample properties of Realized Range estimators of integrated volatility and compares them to those of the Realized Volatility estimators when a sample of high-frequency data is observed. Simulated data are obtained from different generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory and jump processes. This paper also analyzes the impact that missing observations have on the Realized Range measures and proposes a simple correction in order to reduce the bias. It evaluates the robustness of the different approaches considered when high-frequency prices are affected by bid-ask bounce and price discreteness.