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

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
slide3
Data
  • GOOG (Google)
    • Aug 20 2004 – Dec 31 2010
  • WMT (Wal-Mart)
    • Jan 2 2008 – Dec 31 2010
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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