Some Properties of Absolute Returns as a Proxy for Volatility
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چکیده
Author Contact: David Giles, Dept. of Economics, University of Victoria, P.O. Box 1700, STN CSC, Victoria, B.C., Canada V8W 2Y2; e-mail: [email protected]; FAX: (250) 721-6214 Abstract We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
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تاریخ انتشار 2007