A new generalized volatility proxy via the stochastic volatility model

作者：Kim, Jong Min; Jung, Hojin^*; Qin, Li

来源：Applied Economics, 2017, 49(23): 2259-2268.

DOI：10.1080/00036846.2016.1237751

• Volatility
• stochastic volatility
• relative bias
• mean square error

This article proposes power transformation of absolute returns as a new proxy of latent volatility in the stochastic model. We generalize absolute returns as a proxy for volatility in that we place no restriction on the power of absolute returns. An empirical investigation on the bias, mean square error and relative bias is carried out for the proposed proxy. Simulation results show that the new estimator exhibiting negligible bias appears to be more efficient than the unbiased estimator with high variance.

• 出版日期2017
• 单位河南大学