期刊
JOURNAL OF ECONOMETRICS
卷 187, 期 1, 页码 293-311出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2015.02.008
关键词
Realized variance; Volatility forecasting; High frequency data
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.
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