Estimating the Volatility of Discrete Stock Prices
Estimating the Volatility of Discrete Stock Prices
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DOI：
10.1111/j.1540-6261.1988.tb03949.x
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发表时间：
1988-06
影响因子：
8
通讯作者：
D. Cho;E. Frees
中科院分区：
文献类型：
--
作者：
D. Cho;E. Frees
本文介绍了一种股票价格波动率的估计量，它至少渐近地消除了由于观测到的股票价格的离散性而引起的偏差。假设观察到的股票价格是连续监测的，则使用价格变化速度的概念而不是价格变化的程度来构造估计量。证明了该估计具有良好的渐近性质，包括相合性和正态性。并通过仿真研究，说明了该方法在中低价位股票的估值中是如何优于自然估值的。此外，模拟研究表明，所提出的估计是稳健的，以某些错误的规格在测量价格变化之间的时间。版权所有1988年由美国金融协会。
This paper introduces an estimator of stock price volatility which eliminates, at least asymptotically , the biases that are caused by the discreteness of observed stock pr ices. Assuming that the observed stock prices are continuously monito red, an estimator is constructed using the notion of how quickly the price changes rather than how much the price changes. It is shown tha t this estimator has desirable asymptotic properties, including consi stency and normality. Also, through a simulation study, the authors s how that it outperforms natural estimators for low and middle priced stocks. Further, the simulation study demonstrates that the proposed estimator is robust to certain misspecifications in measuring the tim e between price changes. Copyright 1988 by American Finance Association.