Premium
The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece
Author(s) -
Papavassiliou Vassilios G.
Publication year - 2012
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/j.1468-0300.2012.00244.x
Subject(s) - volatility (finance) , estimator , realized variance , econometrics , forward volatility , variance swap , economics , stochastic volatility , equity (law) , variance (accounting) , range (aeronautics) , volatility swap , implied volatility , statistics , mathematics , accounting , engineering , political science , law , aerospace engineering
In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high–low ranges for intra‐day intervals, to the recently popularized realized variance estimator obtained by summing squared intra‐day returns. Our results, derived from a Greek equity high‐frequency data set, show that realized range‐based measures improve upon the corresponding realized variance‐based ones in most cases, especially for the most actively traded stocks. The usefulness of high‐frequency data in measuring and forecasting financial volatility is apparent throughout the paper.