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- W2137492577 abstract "We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the re- alized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the other two meth- ods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method." @default.
- W2137492577 created "2016-06-24" @default.
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- W2137492577 date "2012-01-01" @default.
- W2137492577 modified "2023-09-27" @default.
- W2137492577 title "Estimation of Monthly Volatility: An Empirical Comparison of Realized Volatility, GARCH and ACD-ICV Methods" @default.
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