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Estimating stochastic volatility diffusion using conditional moments of integrated volatility

Publication ,  Journal Article
Bollerslev, T; Zhou, H
Published in: Journal of Econometrics
July 1, 2002

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions. The estimator is based on the analytical solutions of the first two conditional moments for the latent integrated volatility, the realization of which is effectively approximated by the sum of the squared high-frequency increments of the process. Our simulation evidence indicates that the resulting GMM estimator is highly reliable and accurate. Our empirical implementation based on high-frequency five-minute foreign exchange returns suggests the presence of multiple latent stochastic volatility factors and possible jumps. © 2002 Elsevier Science B.V. All rights reserved.

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Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

July 1, 2002

Volume

109

Issue

1

Start / End Page

33 / 65

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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Bollerslev, T., & Zhou, H. (2002). Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics, 109(1), 33–65. https://doi.org/10.1016/S0304-4076(01)00141-5
Bollerslev, T., and H. Zhou. “Estimating stochastic volatility diffusion using conditional moments of integrated volatility.” Journal of Econometrics 109, no. 1 (July 1, 2002): 33–65. https://doi.org/10.1016/S0304-4076(01)00141-5.
Bollerslev T, Zhou H. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics. 2002 Jul 1;109(1):33–65.
Bollerslev, T., and H. Zhou. “Estimating stochastic volatility diffusion using conditional moments of integrated volatility.” Journal of Econometrics, vol. 109, no. 1, July 2002, pp. 33–65. Scopus, doi:10.1016/S0304-4076(01)00141-5.
Bollerslev T, Zhou H. Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics. 2002 Jul 1;109(1):33–65.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

July 1, 2002

Volume

109

Issue

1

Start / End Page

33 / 65

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics