Rolling-sample volatility estimators: Some new theoretical, simulation, and empirical results
Date
2002Author
Andreou, ElenaGhysels, Eric
Source
Journal of Business and Economic StatisticsVolume
20Pages
363-376Google Scholar check
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Show full item recordAbstract
We propose extensions of the continuous record asymptotic analysis for rolling sample variance estimators developed for estimating the quadratic variation of asset returns, referred to as integrated or realized volatility. We treat integrated volatility as a continuous time stochastic process sampled at high frequencies and suggest rolling sample estimators which share many features with spot volatility estimators. We discuss asymptotically efficient window lengths and weighting schemes for estimators of the quadratic variation and establish links between various spot and integrated volatility estimators. Theoretical results are complemented with extensive Monte Carlo simulations and an empirical investigation.