economics 201fs: realized volatility, bipower variance, alternative volatilit y measures
DESCRIPTION
Economics 201FS: Realized Volatility, Bipower Variance, Alternative Volatilit y Measures. Grace Shuting Wei Spring 2011. Main Points. Price Series Geometrics Returns Realized Variance Bipower Variance Relative Contribution of jumps Volatility Signature Plot. Data. GOOG (Google) - PowerPoint PPT PresentationTRANSCRIPT
Economics 201FS: Realized Volatility, Bipower Variance,
Alternative Volatility Measures
Grace Shuting WeiSpring 2011
Main Points• Price Series• Geometrics Returns• Realized Variance• Bipower Variance• Relative Contribution of jumps• Volatility Signature Plot
Data• GOOG (Google)
– Aug 20 2004 – Dec 31 2010• WMT (Wal-Mart)
– Jan 2 2008 – Dec 31 2010
GOOG: Price Series
GOOG: Geometric Returns
WMT: Price Series
WMT: Geometric Returns
GOOG: Realized Variance
GOOG: Bipower Variation
GOOG: Relative Contribution of Jumps
WMT: Realized Variance
WMT: Bipower Variation
WMT: Relative Contribution of Jumps
GOOG: Volatility Signature Plot (RV)
GOOG: Volatility Signature Plot (BV)
WMT: Volatility Signature Plot (RV)
WMT: Volatility Signature Plot (BV)
Other Volatility Measures
Alternative Measures• Sub-Sampling (Zhang, AïtSahalia and Mykland, 2005)• Pre-Averaging (Podolskij and Vetter, 2009)• MedVar (Anderson, Dobrev and Schaumburg, 2010)
• MinVar (Anderson, Dobrev and Schaumburg, 2010)
• Threshold Variation (Mancini, 2009)
