Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

Journal Article (Journal Article)

We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data ("realized measures"), and compare them with a simple "realized variance" (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.

Full Text

Duke Authors

Cited Authors

  • Liu, LY; Patton, AJ; Sheppard, K

Published Date

  • July 1, 2015

Published In

Volume / Issue

  • 187 / 1

Start / End Page

  • 293 - 311

Electronic International Standard Serial Number (EISSN)

  • 1872-6895

International Standard Serial Number (ISSN)

  • 0304-4076

Digital Object Identifier (DOI)

  • 10.1016/j.jeconom.2015.02.008

Citation Source

  • Scopus