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On The Robustness Of Range‐Based Volatility Estimators

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  • Ozgur (Ozzy) Akay
  • Mark D. Griffiths
  • Drew B. Winters

Abstract

We empirically examine Parkinson's range‐based volatility estimate in the federal funds market, which is unique because institutional regulations create a predictable pattern in interday volatility. We find that range‐based volatility estimates and standard deviations produce the expected volatility pattern. We also find that at trading pressure points where microstructure noise should be greatest, range‐based estimates are less than the standard deviations. Thus, we support the argument that range‐based volatility estimates remove the upward bias created by microstructure noise. We find that the Parkinson method is the most efficient range‐based volatility measure among a set of alternates in this market.

Suggested Citation

  • Ozgur (Ozzy) Akay & Mark D. Griffiths & Drew B. Winters, 2010. "On The Robustness Of Range‐Based Volatility Estimators," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 33(2), pages 179-199, June.
    • Handle: RePEc:bla:jfnres:v:33:y:2010:i:2:p:179-199
    DOI: 10.1111/j.1475-6803.2010.01267.x
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    References listed on IDEAS

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