STAT244.Lecture.03 12

STAT244.Lecture.03 12 - Q 2 1 3 , where Q = M 3 M j =1 r 4...

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Estimating volatility using high frequency data: I Intraday data: Realized volatility : RV t = nt X i =1 r 2 t , i . I impacted by market microstructure noise I overlooks overnight volatilities I as Δ 0, RV t → ∞ . I Optimal sampling interval or n * = 6 . 5 hrs Δ
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Unformatted text preview: Q 2 1 3 , where Q = M 3 M j =1 r 4 t , j and 2 = 1 M M j =1 r 2 t , j , M is the number of daily quotes. I Use of daily open, high, low and close prices (See Trsy ch5)....
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