Authors: Dette, Holger
Golosnoy, Vasyl
Kellermann, Janosch
Title: Correcting intraday periodicity bias in realized volatility measures
Language (ISO): en
Abstract: Diurnal fluctuations in volatility are a well-documented stylized fact of intraday price data. We investigate how this intraday periodicity (IP) affects both finite sample as well as asymptotic properties of several popular realized estimators of daily integrated volatility which are based on functionals of M intraday returns. We demonstrate that most of the estimators considered in our study exhibit a finite-sample bias due to IP, which can however get negligible if the number of intraday returns diverges to infinity. We suggest appropriate correction factors for this bias based on estimates of the IP. The adequacy of the new corrections is evaluated by means of a Monte Carlo simulation study and an empirical example.
Subject Headings: integrated volatility
simulation-based methods
intraday periodicity
realized measures
Subject Headings (RSWK): Schätzfunktion
Issue Date: 2020
Appears in Collections:Sonderforschungsbereich (SFB) 823

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