On the Estimation of Integrated Volatility in the Presence of Jumps and Microstructure Noise
46 Pages Posted: 10 Jun 2016 Last revised: 11 Jan 2019
Date Written: January 9, 2019
This paper is concerned with the problem of the estimation of the integrated volatility of log-prices based on high frequency data when both price jumps and market microstructure noise are present. We begin by providing a survey of the leading estimators introduced in the literature to tackle volatility estimation in this setting. We then introduce novel integrated volatility estimators based on a truncation technique and establish their properties. Finally, we carry out a simulation study to compare the performance of the dierent estimation techniques.
Keywords: integrated volatility, two-scales realized volatility estimator, realized kernel estimator, jumps, market microstructure noise
JEL Classification: C01, C02
Suggested Citation: Suggested Citation