Drift-independent volatility estimation based on high, low, open, and close prices
Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Pages (from-to) | 477-492 |
| Journal / Publication | Journal of Business |
| Volume | 73 |
| Issue number | 3 |
| Publication status | Published - Jul 2000 |
Link(s)
Abstract
We present a new volatility estimator based on multiple periods of high, low, open, and close prices in a historical time series. The new estimator has the following nice properties: it is (a) unbiased in the continuous limit, (b) independent of the drift, (c) consistent in dealing with opening price jumps. Furthermore, it has the smallest variance among all estimators with similar properties. The improvement of accuracy over the classical close-to-close estimator is dramatic for real-life time series.
Citation Format(s)
Drift-independent volatility estimation based on high, low, open, and close prices. / Yang, Dennis; Zhang, Qiang.
In: Journal of Business, Vol. 73, No. 3, 07.2000, p. 477-492.Research output: Journal Publications and Reviews (RGC: 21, 22, 62) › 21_Publication in refereed journal › peer-review
