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Estimating Realized Volatility of Individual Stock in Chinese Stocks Market |
ZHANG Wei, LI Ping, ZENG Yong |
University of Electronic Science and Technology of China,Chengdu,China |
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Abstract Were investigated how to correct the microstructure effects and estimate the realized volatilities of individual stock of Shenzhen Stock Exchange with tick by tick data. It is shown that the biases of individual stocks can be effectively corrected by first-order bias-correct. Therefore, the real volatility can be estimated by the realized volatility based on the highest frequency in Chinese stocks markets. So the realized volatility can be taken as a benchmark in volatility researches.
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Received: 12 March 2007
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