Econometric Analysis of Realised Volatility and its Use in Estimating Levy Based Non-Gaussian Ou Type Stochastic Volatility Models

Nuffield College Working Paper No. 2000-W29

Posted: 3 Dec 2000

See all articles by Ole E. Barndorff-Nielsen

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences

Neil Shephard

Harvard University

Date Written: October 26, 2000

Abstract

The availability of intra-day data on the prices of speculative assets means that we can use quadratic variation like measures of activity in financial markets, called realised volatility, to study the stochastic properties of returns. Here we provide a statistical basis for realised volatility and show how it can be used to estimate the parameters of stochastic volatility models. Models covered included those which are based on Levy driven non-Gaussian OU volatility processes, as well as more traditional type models such as constant elasticity of variance processes or superpositions of such processes.

Suggested Citation

Barndorff-Nielsen, Ole E. and Shephard, Neil, Econometric Analysis of Realised Volatility and its Use in Estimating Levy Based Non-Gaussian Ou Type Stochastic Volatility Models (October 26, 2000). Nuffield College Working Paper No. 2000-W29. Available at SSRN: https://ssrn.com/abstract=247768

Ole E. Barndorff-Nielsen

University of Aarhus - Thiele Centre, Department of Mathematical Sciences ( email )

Ny Munkegade
Aarhus, DK 8000
Denmark

Neil Shephard (Contact Author)

Harvard University ( email )

1875 Cambridge Street
Cambridge, MA 02138
United States

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