Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/200654
Authors: 
Becker, Janis
Leschinski, Christian
Year of Publication: 
2018
Series/Report no.: 
Hannover Economic Papers (HEP) 642
Abstract: 
Realized volatility underestimates the variance of daily stock index returns by an average of 14 percent. This is documented for a wide range of international stock indices, using the fact that the average of realized volatility and that of squared returns should be the same over longer time horizons. It is shown that the magnitude of this bias cannot be explained by market microstructure noise. Instead, it can be attributed to correlation between the continuous components of intraday returns and correlation between jumps and previous/subsequent continuous price movements.
Subjects: 
Return Volatility
Realized Volatility
Squared Returns
JEL: 
G11
G12
G17
Document Type: 
Working Paper
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