Some Properties of Absolute Returns as a Proxy for Volatility

We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.

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Year of publication:	2007-08-09
Authors:	Giles, David E.
Institutions:	Department of Economics, University of Victoria
Subject:	Volatility \| stochastic volatility model \| absolute returns \| squared returns

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Extent:	application/pdf
Series:	Econometrics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	ISSN 1485-6441 Number 0706 8 pages
Classification:	C10 - Econometric and Statistical Methods: General. General ; c46 ; G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005839153