State Space Model of Realized Volatility under the Existence of Dependent Market Microstructure Noise

• Tác giả: Toru Yano
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.76 Stochastic systems
• Thông tin xuất bản: 2024
• Bộ sưu tập: Metadata
• ID: 203882

Tóm tắt

Volatility means the degree of variation of a stock price which is important in finance. Realized Volatility (RV) is an estimator of the volatility calculated using high-frequency observed prices. RV has lately attracted considerable attention of econometrics and mathematical finance. However, it is known that high-frequency data includes observation errors called market microstructure noise (MN). Nagakura and Watanabe[2015] proposed a state space model that resolves RV into true volatility and influence of MN. In this paper, we assume a dependent MN that autocorrelates and correlates with return as reported by Hansen and Lunde[2006] and extends the results of Nagakura and Watanabe[2015] and compare models by simulation and actual data.