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J4  2008, Vol. 5 Issue (2): 269-    DOI:
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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.

Key wordsChinese stocks markets      realized volatility      high-frequency data      first-order bias-correct     
Received: 12 March 2007     
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ZHANG Wei
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Cite this article:   
ZHANG Wei,LI Ping,ZENG Yong. Estimating Realized Volatility of Individual Stock in Chinese Stocks Market[J]. J4, 2008, 5(2): 269-.
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http://manu68.magtech.com.cn/Jwk_glxb/EN/     OR     http://manu68.magtech.com.cn/Jwk_glxb/EN/Y2008/V5/I2/269
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