Publication Type

Journal Article

Version

Preprint

Publication Date

10-2012

Abstract

We propose a method to estimate the intraday volatility of a stock by integrating the instantaneous conditional return variance per unit time obtained from the autoregressive conditional duration (ACD) model, called the ACD-ICV method. We compare the daily volatility estimated using the ACD-ICV method against several versions of the realized volatility (RV) method, including the bipower variation RV with subsampling, the realized kernel estimate, and the duration-based RV. Our Monte Carlo results show that the ACD-ICV method has lower root mean-squared error than the RV methods in almost all cases considered. This article has online supplementary material.

Keywords

Market microstructure, Realized volatility, Semiparametric method, Transaction data

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economics Statistics

Volume

30

Issue

4

First Page

533

Last Page

545

ISSN

0735-0015

Identifier

10.1080/07350015.2012.707582

Publisher

Taylor and Francis

Copyright Owner and License

Authors

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://doi.org/0.1080/07350015.2012.707582

Included in

Econometrics Commons

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