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dc.contributor.authorTodorova, N
dc.date.accessioned2017-05-03T16:07:48Z
dc.date.available2017-05-03T16:07:48Z
dc.date.issued2012
dc.date.modified2013-09-09T22:12:03Z
dc.identifier.issn0960-3107
dc.identifier.doi10.1080/09603107.2011.610739
dc.identifier.urihttp://hdl.handle.net/10072/52941
dc.description.abstractThis study investigates the relative performance of alternative extreme-value volatility estimators based on daily and intraday ranges of the German index DAX 30. As a benchmark, the two-scales realized volatility is used. Intraday data from 6 years and 4 months are divided into two periods of different liquidity and volatility levels. The empirical results show that all range-based estimators are superior compared to the classical estimator but are negatively biased due to the discreteness of the price process. The estimation accuracy of all volatility proxies depends on the drift of the price process. The performance of the estimators based on daily price ranges is furthermore very sensitive to the level of volatility. The realized range, an estimator obtained from intraday ranges is more efficient and less biased than the daily ranges. The main determinant of its properties appears to be the liquidity level. The adjustments according to Christensen and Podolskij (2007) and Martens and van Dijk (2007) perform significantly better than the Parkinson estimator and thus provide conclusive support for the relative advantage of the realized range for measuring equity index volatility.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.publisherRoutledge
dc.publisher.placeUnited KIngdom
dc.relation.ispartofstudentpublicationN
dc.relation.ispartofpagefrom215
dc.relation.ispartofpageto229
dc.relation.ispartofissue3
dc.relation.ispartofjournalApplied Financial Economics
dc.relation.ispartofvolume22
dc.rights.retentionY
dc.subject.fieldofresearchEconometric and Statistical Methods
dc.subject.fieldofresearchApplied Economics
dc.subject.fieldofresearchBanking, Finance and Investment
dc.subject.fieldofresearchcode140302
dc.subject.fieldofresearchcode1402
dc.subject.fieldofresearchcode1502
dc.titleVolatility estimators based on daily price ranges versus the realized range
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.date.issued2012
gro.hasfulltextNo Full Text
gro.griffith.authorTodorova, Neda


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