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I'm in the position to calculate a non-parametric volatility estimator for 15 and 30 minutes intervals of the SPY. I got data sampled on second resolution. However, I checked plenty of papers but, as far as I understood them, all of the proposed models are solely applied to measure daily volatility. All of the proposed kernels or subsampling methodologies to deal with microstructure noise and/or jumps are estimated to get daily volatility. How do I estimate a robust realized volatility measure for the stated intraday frequencies?

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    $\begingroup$ Which papers are you referring to? When they describe the methods they use, they presumably talk about time scales in order to come up with the methods - can you alter these to infer kernels / susampling methodologies to different time periods? $\endgroup$ – will Jan 4 '17 at 19:58
  • $\begingroup$ All approaches presented in(page 65ff): edoc.hu-berlin.de/dissertationen/… $\endgroup$ – nan Jan 4 '17 at 20:23
  • $\begingroup$ Have you searched previous question on this site. This looks relevant. quant.stackexchange.com/questions/2589/… $\endgroup$ – Will Gu Jan 5 '17 at 5:20
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    $\begingroup$ Yes, I checked it but the answers are not really specific. I just realized that probably the mentioned methods for daily volatility could be also applied for intraday volatility. $\endgroup$ – nan Jan 5 '17 at 8:18
  • $\begingroup$ How come this - cims.nyu.edu/~almgren/timeseries/notes7.pdf - is not specific? $\endgroup$ – LazyCat Jan 5 '17 at 14:54
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Have a look at the following R package:

https://www.rdocumentation.org/packages/highfrequency/versions/0.4?

I believe it has all the tools you need and good references to papers and methodology.

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  • $\begingroup$ Thanks! I already know the package, the problem is that they just use spot volatility measures for intraday data. There is no realised approach for intraday data. The difference is that the spot volatility measures, even the non parametric approach proposed by Kristensen, use the information outside the interval to get an estimate of the volatility. I would like to leverage the information contained in the interval. $\endgroup$ – nan Jan 11 '17 at 20:14
  • $\begingroup$ Thanks for clarifying. Did you read the following post: quant.stackexchange.com/questions/20661/… $\endgroup$ – cJc Jan 12 '17 at 8:05
  • $\begingroup$ All of the provided answers are not microstructure noise robust. $\endgroup$ – nan Jan 12 '17 at 8:22

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