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Estimating Daily Volatility in Financial Markets Utilizing Intraday Data

Author

Listed:
  • Bernard Bollen

    (School of Economics, La Trobe University)

  • Brett Inder

    (School of Economics, La Trobe University)

Abstract
This study proposes a new approach to the estimation of daily volatility in financial markets. To do this we evaluate a number of traditional estimators of daily volatility based upon intra-day data and propose a new estimator of daily volatility based upon intra-day data which is both unbiased and efficient.

Suggested Citation

  • Bernard Bollen & Brett Inder, 1999. "Estimating Daily Volatility in Financial Markets Utilizing Intraday Data," Working Papers 1999.01, School of Economics, La Trobe University.
    • Handle: RePEc:trb:wpaper:1999.01
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    References listed on IDEAS

    as
    1. Andersen T. G & Bollerslev T. & Diebold F. X & Labys P., 2001. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 42-55, March.
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