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Quarticity Estimation on ohlc Data

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  • Janine Balter

Abstract

Integrated quarticity, a measure of the volatility of volatility, plays a key role in analyzing the volatility of financial time series. As it is an important ingredient for the construction of accurate confidence intervals for integrated volatility, its accurate estimation is of high interest. Given that it includes fourth-order returns, it is relatively hard to estimate. This article proposes a new, very efficient and jump-robust estimator of integrated quarticity—based on intraday open, high, low, and close prices (ohlc data)—and compares its performance to that of the realized quarticity.

Suggested Citation

  • Janine Balter, 2015. "Quarticity Estimation on ohlc Data," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 505-519.
    • Handle: RePEc:oup:jfinec:v:13:y:2015:i:2:p:505-519.
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    File URL: http://hdl.handle.net/10.1093/jjfinec/nbu016
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    Cited by:

    1. Chen, Wei & Zhang, Haoyu & Jia, Lifen, 2022. "A novel two-stage method for well-diversified portfolio construction based on stock return prediction using machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).

    More about this item

    Keywords

    integrated quarticity; volatility; high-low prices; high-frequency data; jumps;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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