Most Efficient Homogeneous Volatility Estimators

Details Most Efficient Homogeneous Volatility Estimators Most Efficient Homogeneous Volatility Estimators

2009-08-12

arxiv.org/abs/0908.1677v1

Economy

Quantitative Finance

Statistical Finance

46 pages including 17 figures

Scientific paper

We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices. For this, we develop the theory of most efficient point-wise homogeneous OHLC volatility estimators, valid for any price processes. We introduce the "quasi-unbiased estimators", that can address any type of desirable constraints. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval in the form of the joint distributions of the high-minus-open, low-minus-open and close-minus-open values, whose analytical expression is derived exactly for Wiener processes with drift. The distributions can be calculated to yield the most efficient estimators associated with any statistical properties of the underlying log-price stochastic process. Applied to Wiener processes for log-prices with drift, we provide explicit analytical expressions for the most efficient point-wise volatility and variance estimators, based on the analytical expression of the joint distribution of the high-minus-open, low-minus-open and close-minus-open values. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass, Roger-Satchell and maximum likelihood estimators.

Affiliated with

Also associated with

No associations

Rating

Most Efficient Homogeneous Volatility Estimators does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Most Efficient Homogeneous Volatility Estimators, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Most Efficient Homogeneous Volatility Estimators will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-370382