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Realised volatility estimators
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
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Division of Actuarial Science
2014
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| _version_ | 1867613766736150528 |
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| access_status_str | Open Access |
| author | Königkrämer, Sören |
| author2 | Taylor, David |
| author_browse | Königkrämer, Sören Taylor, David |
| author_facet | Taylor, David Königkrämer, Sören |
| author_sort | Königkrämer, Sören |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8526 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:41:22.303Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8526 Realised volatility estimators Königkrämer, Sören Taylor, David Mathematical Finance Includes bibliographical references. This dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories of estimators: historical, high-frequency (HF) and implied. The need to estimate RV is predominantly in the hedging of options and is not concerned with speculation or forecasting. The main research questions are; (1) what is the best RV estimator in a historical study of S&P 500 data? (2) What is the best RV estimator in a Monte Carlo simulation when delta hedging synthetic options? (3) Do our findings support the stylized fact of `Asymmetry in time scales' (Cont, 2001)? In the answering of these questions, further avenues of investigation are explored. Firstly, the VIX is used as the implied volatility. Secondly, the Monte Carlo simulation generates stock price paths with random components in the stock price and the volatility at each time point. The distribution of the input volatility is varied. The question of asymmetry in time scales is addressed by varying the term and frequency of historical data. The results of the historical and Monte Carlo simulation are compared. The SSR and two of the HF estimators perform best in both cases. Accuracy of estimators using long term data is shown to perform very poorly. 2014-10-17T10:09:55Z 2014-10-17T10:09:55Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8526 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Königkrämer, Sören Realised volatility estimators |
| thesis_degree_str | Master's |
| title | Realised volatility estimators |
| title_full | Realised volatility estimators |
| title_fullStr | Realised volatility estimators |
| title_full_unstemmed | Realised volatility estimators |
| title_short | Realised volatility estimators |
| title_sort | realised volatility estimators |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/8526 |
| work_keys_str_mv | AT konigkramersoren realisedvolatilityestimators |