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http://hdl.handle.net/10197/1631
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| Title: | Absolute return volatility |
| Author: | Cotter, John |
| Author web links: | John Cotter (web page) |
| Date: | Jun-2006 |
| Full citation: | Risk, 19 (6): 84-88 |
| Publisher: | Risk Magazine Limited |
| Type of material: | Journal Article |
| Abstract: | Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate, successful market risk management requires the use of accurate risk measures such as minimum capital requirements. These risk measures are underpinned by the input of volatility estimates. An important question thus arises: how to people obtain accurate volatility measures that can be used in market risk management? This article addresses this by exploring the asymptotic and finite sample properties of absolute return volatility. These measures are model-free and avoid model risk with other frameworks such as autoregressive conditional heteroscedasticity processes. Absolute return volatility is obtained by aggregating high-frequency absolute returns into relatively low-frequency, for example, daily volatility estimates. The use of these measures is illustrated by obtaining the commonly used market risk measure, minimum capital requirements. |
| Web link to reference this item: | http://hdl.handle.net/10197/1631 |
| ISSN: | 0952-8776 |
| Keywords: | Volatility; Economic models; Rates of return; Measurement techniques; Risk assessment; Capital requirements; |
| Subject Heading: | Analysis of variance; Financial risk management; Rate of return--Econometric models; |
| Status of Item: | Peer reviewed |
| Availability: | Full text not available |
| Appears in Collections: | Economists Online Collection & RePEc
Business Research Collection
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