Quarticity estimation on ohlc data
Title: Quarticity estimation on ohlc data
Author: BALTER, Janine
Series/Number: EUI MWP; 2013/21
Integrated quarticity, a measure of the volatility of volatility, plays a key role in analyzing the volatility of financial time series. As it is an important ingredient for the construction of accurate confidence intervals for integrated volatility, its accurate estimation is of high interest. Given that it includes fourth order returns, it is relatively hard to estimate. This article proposes a new, very efficient and jump-robust estimator of integrated quarticity -based on intraday open, high, low and close prices (ohlc data) - and compares its performance to that of the realized quarticity.
Subject: Volatility; Integrated quarticity; High-low prices; High-frequency data; Jumps; C10; C13; C14; G10
Type of Access: openAccess; openAccess