Non-parametric volatility measurements and volatility forecasting models

[摘要] ENGLISH ABSTRACT:Volatilty was originally seen to be constant and deterministic, but it was later realised thatreturn series are non-stationary. Owing to this non-stationarity nature of returns, there wereno reliable ex-post volatility measurements. Subsequently, researchers focussed on ex-antevolatility models. It was only then realised that before good volatility models can be created,reliable ex-post volatility measuremetns need to be defined.In this study we examine non-parametric ex-post volatility measurements in order to obtain approximationsof the variances of non-stationary return series. A detailed mathematical derivationand discussion of the already developed volatility measurements, in particular the realisedvolatility- and DST measurements, are given In theory, the higher the sample frequency ofreturns is, the more accurate the measurements are. These volatility measurements referredto above, however, all have short-comings in that the realised volatility fails if the samplefrequency becomes to high owing to microstructure effects. On the other hand, the DST measurementcannot handle changing instantaneous volatility. In this study we introduce a newvolatility measurement, termed microstructure realised volatility, that overcomes these shortcomings.This measurement, as with realised volatility, is based on quadratic variation theory,but the underlying return model is more realistic.

[发布机构] Stellenbosch University