| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0279 |
| 来源ID | Technical Working Paper 0279 |
| Parametric and Nonparametric Volatility Measurement | |
| Torben G. Andersen; Tim Bollerslev; Francis X. Diebold | |
| 发表日期 | 2002-08-08 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | Volatility has been one of the most active areas of research in empirical finance and time series econometrics during the past decade. This chapter provides a unified continuous-time, frictionless, no-arbitrage framework for systematically categorizing the various volatility concepts, measurement procedures, and modeling procedures. We define three different volatility concepts: (i) the notional volatility corresponding to the ex-post sample-path return variability over a fixed time interval, (ii) the ex-ante expected volatility over a fixed time interval, and (iii) the instantaneous volatility corresponding to the strength of the volatility process at a point in time. The parametric procedures rely on explicit functional form assumptions regarding the expected and/or instantaneous volatility. In the discrete-time ARCH class of models, the expectations are formulated in terms of directly observable variables, while the discrete- and continuous-time stochastic volatility models involve latent state variable(s). The nonparametric procedures are generally free from such functional form assumptions and hence afford estimates of notional volatility that are flexible yet consistent (as the sampling frequency of the underlying returns increases). The nonparametric procedures include ARCH filters and smoothers designed to measure the volatility over infinitesimally short horizons, as well as the recently-popularized realized volatility measures for (non-trivial) fixed-length time intervals. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0279 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566709 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold. Parametric and Nonparametric Volatility Measurement. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0279.pdf（308KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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