Economics 201fs realized volatility bipower variance alternative volatilit y measures
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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures. Grace Shuting Wei Spring 2011. Main Points. Price Series Geometrics Returns Realized Variance Bipower Variance Relative Contribution of jumps Volatility Signature Plot. Data. GOOG (Google)

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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures

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Economics 201fs realized volatility bipower variance alternative volatilit y measures

Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatility Measures

Grace Shuting Wei

Spring 2011


Main points

Main Points

  • Price Series

  • Geometrics Returns

  • Realized Variance

  • Bipower Variance

  • Relative Contribution of jumps

  • Volatility Signature Plot


Economics 201fs realized volatility bipower variance alternative volatilit y measures

Data

  • GOOG (Google)

    • Aug 20 2004 – Dec 31 2010

  • WMT (Wal-Mart)

    • Jan 2 2008 – Dec 31 2010


Goog price series

GOOG: Price Series


Goog geometric returns

GOOG: Geometric Returns


Wmt price series

WMT: Price Series


Wmt geometric returns

WMT: Geometric Returns


Goog realized variance

GOOG: Realized Variance


Goog bipower variation

GOOG: Bipower Variation


Goog relative contribution of jumps

GOOG: Relative Contribution of Jumps


Wmt realized variance

WMT: Realized Variance


Wmt bipower variation

WMT: Bipower Variation


Wmt relative contribution of jumps

WMT: Relative Contribution of Jumps


Goog volatility signature plot rv

GOOG: Volatility Signature Plot (RV)


Goog volatility signature plot bv

GOOG: Volatility Signature Plot (BV)


Wmt volatility signature plot rv

WMT: Volatility Signature Plot (RV)


Wmt volatility signature plot bv

WMT: Volatility Signature Plot (BV)


Other volatility measures

Other Volatility Measures


Alternative measures

Alternative Measures

  • Sub-Sampling (Zhang, AïtSahalia and Mykland, 2005)

  • Pre-Averaging (Podolskijand Vetter, 2009)

  • MedVar(Anderson, Dobrev and Schaumburg, 2010)

  • MinVar (Anderson, Dobrev and Schaumburg, 2010)

  • Threshold Variation (Mancini, 2009)


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