Comparative Study of Two Volatility Estimation Methods of High Frequency Financial Data
Zhang Shi-ying · Journal of systems management · 2007
The financial volatility estimation method of high frequency data is focus inside and outside country.The realized volatility is a completely new method of volatility estimation on high frequency financial data.Recently there comes the realized bipower variation in foreign articles.This paper makes comparative study on these two volatility estimation methods.With the comparison of the realized volatility and the realized bipower variation,the conclusion is drawn that the realized bipower variation is better on definition,robustness and efficiency.