Оценщики квадратичной вариации основанные на высокочастотных данных – эмпирический обзор

В последнее время достижения в области компьютерных технологий, записи и хранения данных позволили сделать финансовые данные доступными для исследователей. В результате, литература о волатильности стала неуклонно развиваться в сторону использования чаще предоставляемых финансовых данных. Однако, переход к использованию финансовых данных с более высокой степенью периодичности, при оценке волатильности финансовой доходности привел к разработке многих реализованных показателей волатильности изменчивости доходности активов, основанных на множестве различных допущений и функциональных форм, тем самым, крайне затрудняя проведение теоретических сравнений и выбор оценок для эмпирических приложений. В этой статье представлен эмпирический обзор эффективности оценок квадратичной вариации / интегрированной дисперсии на основе высокочастотных данных, для упрощения их применения в эмпирическом анализе. В обзоре показано, что нельзя выделить ни одного их рассмотренных оценщиков, который бы работал лучше остальных во всех ситуациях, однако, более сложные расчеты оценки волатильности, в частности, на основе TSRV и KRV, превосходят другие аналоги с точки зрения точности оценки в присутствии рыночного микроструктурного шума.

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