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Optimal nonparametric range-based volatility estimation
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DOI：10.1016/j.jeconom.2023.105548.png)
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Abstract
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We present a general framework for optimal nonparametric spot volatility estimation based on intraday range data, comprised of the first, highest, lowest, and last price over a given time-interval. We rely on a decision-theoretic approach together with a coupling-type argument to directly tailor the form of the nonparametric estimator to the specific volatility measure of interest and relevant loss function. The resulting new optimal estimators offer substantial efficiency gains compared to existing commonly used range-based procedures.
Keywords:
Spot volatility
Nonparametric estimation
Range-based estimation
High-frequency data
Decision theory
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