Statistics and Its Interface
Volume 1 (2008)
Spot volatility estimation for high-frequency data
Pages: 279 – 288
The availability of high-frequency intraday data allows us to accurately estimate stock volatility. This paper employs a bivariate diffusion to model the price and volatility of an asset and investigates kernel type estimators of spot volatility based on high-frequency return data. We establish both pointwise and global asymptotic distributions for the estimators.
asymptotic normality, CIR model, constant elasticity of diffusion, extreme distribution, kernel estimator, long memory, stock price