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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

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Date
2002-07-01
Authors
Bollerslev, T
Zhou, H
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Abstract
We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.
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Journal article
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https://hdl.handle.net/10161/1893
Published Version (Please cite this version)
10.1016/S0304-4076(01)00141-5
Publication Info
Bollerslev, T; & Zhou, H (2002). Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics, 109(1). pp. 33-65. 10.1016/S0304-4076(01)00141-5. Retrieved from https://hdl.handle.net/10161/1893.
This is constructed from limited available data and may be imprecise. To cite this article, please review & use the official citation provided by the journal.
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Scholars@Duke

Bollerslev

Tim Bollerslev

Juanita and Clifton Kreps Distinguished Professor of Economics, in Trinity College of Arts and Sciences
Professor Bollerslev conducts research in the areas of time-series econometrics, financial econometrics, and empirical asset pricing finance. He is particularly well known for his developments of econometric models and procedures for analyzing and forecasting financial market volatility. Much of Bollerslev’s recent research has focused on the analysis of newly available high-frequency intraday, or tick-by-tick, financial data and so-called realized volatility measures, macroeconomic news annou
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