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Properties of range-based volatility estimators

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  • Molnár, Peter

Abstract

Volatility is not directly observable and must be estimated. Estimator based on daily close data is imprecise. Range-based volatility estimators provide significantly more precision, but still remain noisy volatility estimates, something that is sometimes forgotten when these estimators are used in further calculations.

Suggested Citation

  • Molnár, Peter, 2012. "Properties of range-based volatility estimators," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 20-29.
    • Handle: RePEc:eee:finana:v:23:y:2012:i:c:p:20-29
    DOI: 10.1016/j.irfa.2011.06.012
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    More about this item

    Keywords

    Volatility; High; Low; Range;
    All these keywords.

    JEL classification:

    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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