A realised volatility measurement using quadratic variation and dealing with microstructure effects

A realised volatility measurement using quadratic variation and dealing with microstructure effects

A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatili...

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Main Authors: C du Toit, WJ Conradie
Format: Article
Language:English
Published: Operations Research Society of South Africa (ORSSA) 2006-12-01
Series:ORiON
Online Access:http://orion.journals.ac.za/pub/article/view/38
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spelling doaj-02e31b6f6e7446709bb964a7ec00e7ca2020-11-25T01:06:06ZengOperations Research Society of South Africa (ORSSA)ORiON2224-00042006-12-0122210.5784/22-2-3838A realised volatility measurement using quadratic variation and dealing with microstructure effectsC du Toit0WJ Conradie1ISS InternationalDepartment of Statistics and Actuarial Science, Stellenbosch UniversityA volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatility measurement is defined and relevant theoretical results are derived. Finally simulation results are used to evaluate these three volatility measurements.http://orion.journals.ac.za/pub/article/view/38
collection DOAJ
language English
format Article
sources DOAJ
author C du Toit
WJ Conradie
spellingShingle C du Toit
WJ Conradie
A realised volatility measurement using quadratic variation and dealing with microstructure effects
ORiON
author_facet C du Toit
WJ Conradie
author_sort C du Toit
title A realised volatility measurement using quadratic variation and dealing with microstructure effects
title_short A realised volatility measurement using quadratic variation and dealing with microstructure effects
title_full A realised volatility measurement using quadratic variation and dealing with microstructure effects
title_fullStr A realised volatility measurement using quadratic variation and dealing with microstructure effects
title_full_unstemmed A realised volatility measurement using quadratic variation and dealing with microstructure effects
title_sort realised volatility measurement using quadratic variation and dealing with microstructure effects
publisher Operations Research Society of South Africa (ORSSA)
series ORiON
issn 2224-0004
publishDate 2006-12-01
description A volatility measurement that overcomes the respective problems encountered when implementing the realised and Discrete Sine Transform volatility measurements is defined and discussed in this paper. First the shortcomings of these measurements are briefly discussed. Then a modified realised volatility measurement is defined and relevant theoretical results are derived. Finally simulation results are used to evaluate these three volatility measurements.
url http://orion.journals.ac.za/pub/article/view/38
work_keys_str_mv AT cdutoit arealisedvolatilitymeasurementusingquadraticvariationanddealingwithmicrostructureeffects
AT wjconradie arealisedvolatilitymeasurementusingquadraticvariationanddealingwithmicrostructureeffects
AT cdutoit realisedvolatilitymeasurementusingquadraticvariationanddealingwithmicrostructureeffects
AT wjconradie realisedvolatilitymeasurementusingquadraticvariationanddealingwithmicrostructureeffects
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