English, Article, Journal or magazine article edition: Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think Francis X. Diebold; Andrew Hickman; Atsushi Inoue; ...

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Bookmark: http://trove.nla.gov.au/version/190412
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think
Author
  • Francis X. Diebold
  • Andrew Hickman
  • Atsushi Inoue
  • Til Schuermann
Physical Description
  • preprint
Notes
  • We show that the common practice of converting 1-day volatility estimates to h-day estimates by scaling by the sqaure root of h is inappropriate and produces overestimates of the variability of long-horizon volatility. We conclude that volatility models are best tailored to tasks: if interest centers on long-horizon volatility, then a long-horizon volatility model should be used. Economic considerations, however, confound even that prescription and point to important directions for future research.
  • RePEc:wop:pennin:97-34
Language
  • English
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