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
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Economics 201FS: Realized Volatility, Bipower Variance,
Alternative Volatility Measures
Grace Shuting WeiSpring 2011
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Main Points• Price Series• Geometrics Returns• Realized Variance• Bipower Variance• Relative Contribution of jumps• Volatility Signature Plot
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Data• GOOG (Google)
– Aug 20 2004 – Dec 31 2010• WMT (Wal-Mart)
– Jan 2 2008 – Dec 31 2010
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GOOG: Price Series
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GOOG: Geometric Returns
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WMT: Price Series
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WMT: Geometric Returns
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GOOG: Realized Variance
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GOOG: Bipower Variation
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GOOG: Relative Contribution of Jumps
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WMT: Realized Variance
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WMT: Bipower Variation
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WMT: Relative Contribution of Jumps
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GOOG: Volatility Signature Plot (RV)
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GOOG: Volatility Signature Plot (BV)
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WMT: Volatility Signature Plot (RV)
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WMT: Volatility Signature Plot (BV)
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Other Volatility Measures
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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)
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