Determining the Volatility of a Price Process in The Presence of Rounding Errors
Determining the Volatility of a Price Process in The Presence of Rounding Errors
复制标题
确定存在舍入误差时价格过程的波动性
DOI:
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发表时间:
2006
期刊:
影响因子:
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通讯作者:
P. Mykland
中科院分区:
文献类型:
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作者:
Yingying Li;P. Mykland
Let S denote the price process of a security, and suppose that S follow a geometric Brownian motion with volatility ae 2 : We consider the case when the observations at the discrete time points 0; 1=n; 2=n; ¢¢¢ ; 1 are the rounded-o values S (fi n) i=n = finbSi=n=finc (i = 0;¢¢¢ ;n); where fin > 0 is the round-o level corresponding to the sample frequency n. We investigate the asymptotic behavior of the “Realized Volatility” V n = Pn=1 (log(S (fi n) i=n ) i log(S (fin) (ii1)=n )) 2 , which is commonly used as an estimator of the volatility ae 2 . We prove the convergence of V n or scaled V n under dierent conditions on fin. A bias corrected estimator of the volatility is proposed and an associated central limit theorem is shown. Simulation results show that improvement in statistical properties can be substantial.