Econometric analysis of realized volatility and its use in estimating stochastic volatility models

• 成果类型: Article
• 署名作者: Barndorff-Nielsen, OE; Shephard, N
• 署名单位: University of Oxford; Aarhus University
• 刊物名称: JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
• ISSN/ISSBN: 1369-7412
• DOI: 10.1111/1467-9868.00336
• 发表日期: 2002
• 页码: 253-280
• 关键词: likelihood inference; long memory; variance; run

摘要

The availability of intraday data on the prices of speculative assets means that we can use quadratic variation-like measures of activity in financial markets, called realized volatility, to study the stochastic properties of returns. Here, under the assumption of a rather general stochastic volatility model, we derive the moments and the asymptotic distribution of the realized volatility error-the difference between realized volatility and the discretized integrated volatility (which we call actual volatility). These properties can be used to allow us to estimate the parameters of stochastic volatility models without recourse to the use of simulation-intensive methods.