English, Article, Journal or magazine article edition: Proxies for daily volatility Robin G. de Vilder; Marcel P. Visser

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Bookmark: http://trove.nla.gov.au/version/44547
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Proxies for daily volatility
Author
  • Robin G. de Vilder
  • Marcel P. Visser
Physical Description
  • preprint
Notes
  • High frequency data are often used to construct proxies for the daily volatility in discrete time volatility models. This paper introduces a calculus for such proxies, making it possible to compare and optimize them. The two distinguishing features of the approach are (1) a simple continuous time extension of discrete time volatility models and (2) an abstract definition of volatility proxy. The theory is applied to eighteen years worth of S&​P 500 index data. It is used to construct a proxy that outperforms realized volatility.
  • RePEc:pse:psecon:2007-11
Language
  • English
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