Inference on the Integrated Volatility with Multiple Records by Using Range

Abstract

Because of the heavy trading of the market and limitation of the recording mechanism, the multiple records of high-frequency data appear frequently. The lack of order information for local data makes it difficult to estimate integrated volatility. We propose a range-based estimator of integrated volatility in presence of multiple records. The consistency and center limit theorem of the estimator have been derived. In simulation studies, several common models are employed to justify the performance of the estimator.

Keywords: Integrated volatility; High-frequency data; Multiple records; Range-based estimation

JEL Classification: C13, C14, G10, G12