This note represents a small piece of work derived from the author's Ph.D thesis at the Queen's University of Belfast.
The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece
Article first published online: 17 OCT 2012
© 2012 The Author Economic Notes © 2012 Banca Monte dei Paschi di Siena SpA.
Volume 41, Issue 3, pages 173–182, November 2012
How to Cite
Papavassiliou, V. G. (2012), The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece. Economic Notes, 41: 173–182. doi: 10.1111/j.1468-0300.2012.00244.x
- Issue published online: 17 OCT 2012
- Article first published online: 17 OCT 2012
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.