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Estimating spot volatility with high-frequency financial data

A kernel estimator of an asset’s instantaneous (spot) volatility from high-frequency prices, with its large-sample theory.

Volatility
code
Zu, Y. and Boswijk, H. P. (2014). Journal of Econometrics 181, 117–135.
Published

January 1, 2014

Abstract

We construct a spot volatility estimator for high-frequency financial data which contain market microstructure noise. We prove consistency and derive the asymptotic distribution of the estimator. A data-driven method is proposed to select the scale parameter and the bandwidth parameter in the estimator. In Monte Carlo simulations, we compare the finite sample performance of our estimator with some existing estimators. Empirical examples are given to illustrate the potential applications of the estimator.

BibTeX

@article{Zu_2014, title={Estimating spot volatility with high-frequency financial data}, volume={181}, ISSN={0304-4076}, url={http://dx.doi.org/10.1016/j.jeconom.2014.04.001}, DOI={10.1016/j.jeconom.2014.04.001}, number={2}, journal={Journal of Econometrics}, publisher={Elsevier BV}, author={Zu, Yang and Peter Boswijk, H.}, year={2014}, month=Aug, pages={117–135} }