Most efficient homogeneous volatility estimators

Alexander I. Saichev ; Didier Sornette ; Vladimir Filimonov

We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval by the joint distributions of the high-minusopen, low-minus-open and close-minus-open values, whose analytical expression is derived exactly for Wiener processes with drift. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass, Roger-Satchell and maximum likelihood estimators

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Year of publication:	2009
Authors:	Saičev, Aleksandr I. ; Sornette, Didier ; Filimonov, Vladimir
Publisher:	Genève : Swiss Finance Inst.
Subject:	Volatilität \| Volatility \| Varianzanalyse \| Analysis of variance \| Stochastischer Prozess \| Stochastic process \| Modellierung \| Scientific modelling \| Maximum-Likelihood-Schätzung \| Maximum likelihood estimation \| Theorie \| Theory