Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (realized measures), and compare them with a simple realized variance (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV. (C) 2015 Elsevier B.V. All rights reserved.