Volatility in daily relationship quality

Proxies for Daily Volatility

High frequency data are often used to construct proxies for the daily volatility in discrete time volatility models. This paper introduces a calculus for such proxies, making it possible to compare and optimize them. The two distinguishing features of the approach are (1) a simple continuous time extension of discrete time volatility models and (2) an abstract definition of volatility proxy. Th...

Forecasting Daily Volatility Using Range-based Data

Users of agricultural markets frequently need to establish accurate representations of expected future volatility. The fact that range-based volatility estimators are highly efficient has been acknowledged in the literature. However, it is not clear whether using range-based data leads to better risk management decisions. This paper compares the performance of GARCH models, range-based GARCH mo...

Microstructure Effects on Daily Return Volatility in Financial Markets

We simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates us...

Daily Relationship Functioning

Long-Range Dependence in Daily Volatility on Tunisian Stock Market

The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and longterm memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for modelling Tunisian stock market volatility. The empirical investigation has been driven on the two Tunisian st...