Volatility Estimation on the Basis of Price Intensities

Gerhard, Frank; Hautsch, Nikolaus

Volatility Estimation on the Basis of Price Intensities

Dateien

416_1.pdfGröße: 438.73 KBDownloads: 299

Datum

1999

Autor:innen

Gerhard, Frank

Hautsch, Nikolaus

Open Access-Veröffentlichung

Open Access Green

Sammlungen

Wirtschaftswissenschaften

Publikationstyp

Working Paper/Technical Report

Publikationsstatus

Published

Zusammenfassung

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional volatility per time. This kind of volatility estimation solves the problem of an appropriate aggregation level by defining explicitly price events. To consider grouping caused by the nontrading period overnight we use a categorical duration model. This model allows us to take into account that durations which occur overnight can only be registered by a lower and an upper bound. The use of price durations based on different tick sizes makes it possible to investigate volatility patterns depending on different aggregation levels. Seasonalities are taken into account by including regressors based on a flexible Fourier form based on intraday and time to maturity seasonalities. Testing for serial correlation and controlling for unobservable heterogeneity permits us to check for misspecification on different aggregation levels. Empirical results are based on intraday transaction data of Bund Future trading at the LIFFE in London.

Fachgebiet (DDC)

330 Wirtschaft

Schlagwörter

Volatility estimation, price intensity, high-frequency data, grouped proportional hazard model, intraday and time to maturity seasonalities

Zitieren

ISO 690

GERHARD, Frank, Nikolaus HAUTSCH, 1999. Volatility Estimation on the Basis of Price Intensities

BibTex

@techreport{Gerhard1999Volat-11759,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Volatility Estimation on the Basis of Price Intensities},
  number={1999/19},
  author={Gerhard, Frank and Hautsch, Nikolaus}
}

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