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Volatility Measurement

Euan Sinclair

DOI: 10.1002/9781118662724.ch2 (Economics, Econometrics and Finance)
License: not stated (all rights reserved)

Abstract: In this chapter, a definition is given for volatility, as well as several ways to estimate it and the likely uncertainty in these estimates. Estimators covered are the close-to-close measurement, Parkinson volatility, Garman-Klass volatility, Rogers-Satchell, Yang-Zhang, and the first exit time method. The pros and cons of sampling data at different timescales are also covered briefly.

Published on 25 Mar. 2013