Fourier volatility forecasting with high-frequency data and microstructure noise

作者：Barucci Emilio^*; Magno Davide; Mancino Maria Elvira

来源：Quantitative Finance, 2012, 12(2): 281-293.

DOI：10.1080/14697680903413589

• Monte Carlo methods
• Wavelets in finance
• Mathematical finance
• GARCH models
• Derivatives pricing
• Financial engineering
• Numerical methods for option pricing

We study the forecasting performance of the Fourier volatility estimator in the presence of microstructure noise. Analytical comparison and simulation studies indicate that the Fourier estimator significantly outperforms realized volatility-type estimators, particularly for high-frequency data and when the noise component is relevant. We show that the Fourier estimator generally exhibits better performance, even compared with methods specifically designed to handle market microstructure contamination.

• 出版日期2012