Economics 201fs realized volatility bipower variance alternative volatilit y measures
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Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures PowerPoint PPT Presentation


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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 Volatility 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)

    • Aug 20 2004 – Dec 31 2010

  • WMT (Wal-Mart)

    • Jan 2 2008 – Dec 31 2010


GOOG: Price Series


GOOG: Geometric Returns


WMT: Price Series


WMT: Geometric Returns


GOOG: Realized Variance


GOOG: Bipower Variation


GOOG: Relative Contribution of Jumps


WMT: Realized Variance


WMT: Bipower Variation


WMT: Relative Contribution of Jumps


GOOG: Volatility Signature Plot (RV)


GOOG: Volatility Signature Plot (BV)


WMT: Volatility Signature Plot (RV)


WMT: Volatility Signature Plot (BV)


Other Volatility 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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