Modelling High-Frequency Volatility

Abstract

>This chapter discusses different ways to estimate intraday volatility. Section 8.1 presents realized measures to estimate intraday quadratic variation. Here, we compactly illustrate fundamental approaches, such as the maximum likelihood estimator by Aït-Sahalia et al. (2005), the realized kernel estimator by Barndorff-Nielsen et al. (2008a) as well as the pre-averaging estimator by Jacod et al. (2009). We restrict ourselves to a rather intuitive discussion of the major principles behind these estimators. A more in-depth treatment, however, is beyond the scope of this book and we refer to the reader to the underlying literature.