Volatilidad de indices accionarios: El caso del IPSA

Abstract

This paper reviews the traditional ways to measure volatility which are based only on closing prices, and introduces alternative measurements that use additional information of prices during the day: opening, minimum, maximum, and closing prices. Using the binomial model, we prove that alternative measurements are more efficient than the traditional ones. An empirical application is performed using daily data of the chilean stock market index IPSA. From the theoretical and empirical results we propose an unbiased and efficient measure of daily volatility for this financial market.