The Efficiency of the Realized Range Measure of Daily Volatility : Evidence from Greece

In this study we estimate and compare the realized range volatility, a novel efficient volatility estimator computed by summing high-low ranges for intra-day intervals, to the recently popularized realized variance estimator obtained by summing squared intra-day returns. Our results derived from a Greek equity high-frequency data set show that realized range-based measures improve upon the corresponding realized variance-based ones in most cases, especially for the most actively traded stocks. The usefulness of high-frequency data in measuring and forecasting financial volatility is apparent throughout the paper