Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2408.17187 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866909301437628416 |
|---|---|
| author | Yano, Toru |
| author_facet | Yano, Toru |
| contents | Volatility means the degree of variation of a stock price which is important in finance. Realized Volatility (RV) is an estimator of the volatility calculated using high-frequency observed prices. RV has lately attracted considerable attention of econometrics and mathematical finance. However, it is known that high-frequency data includes observation errors called market microstructure noise (MN). Nagakura and Watanabe[2015] proposed a state space model that resolves RV into true volatility and influence of MN. In this paper, we assume a dependent MN that autocorrelates and correlates with return as reported by Hansen and Lunde[2006] and extends the results of Nagakura and Watanabe[2015] and compare models by simulation and actual data. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_17187 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise Yano, Toru Econometrics Functional Analysis Volatility means the degree of variation of a stock price which is important in finance. Realized Volatility (RV) is an estimator of the volatility calculated using high-frequency observed prices. RV has lately attracted considerable attention of econometrics and mathematical finance. However, it is known that high-frequency data includes observation errors called market microstructure noise (MN). Nagakura and Watanabe[2015] proposed a state space model that resolves RV into true volatility and influence of MN. In this paper, we assume a dependent MN that autocorrelates and correlates with return as reported by Hansen and Lunde[2006] and extends the results of Nagakura and Watanabe[2015] and compare models by simulation and actual data. |
| title | State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise |
| topic | Econometrics Functional Analysis |
| url | https://arxiv.org/abs/2408.17187 |