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Keywords:

  • C14;
  • C58;
  • G10

In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high–low ranges for intra-day intervals, to the recently popularized realized variance estimator obtained by summing squared intra-day returns. Our results, derived from a Greek equity high-frequency data set, show that realized range-based measures improve upon the corresponding realized variance-based ones in most cases, especially for the most actively traded stocks. The usefulness of high-frequency data in measuring and forecasting financial volatility is apparent throughout the paper.