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The Efficiency of the Realized Range Measure of Daily Volatility: Evidence from Greece

Authors

  • Vassilios G. Papavassiliou

    1. Athens University of Economics and Business, Department of Management Science and Technology, 47A Evelpidon & 33 Lefkados, 104 34 Athens, Greece. Tel: +30 210 8203 670. Fax: +30 210 8828 078. E-mail: vpapavass@aueb.gr
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  • This note represents a small piece of work derived from the author's Ph.D thesis at the Queen's University of Belfast.

Abstract

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.

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