Choice of weights in a hybrid volatility based on high-frequency realized volatility Yoon, J.E.; Hwang, S.Y.;
The paper is concerned with high frequency financial time series. A weighted hybrid volatility is suggested to compute daily volatilities based on high frequency data. Various realized volatility (RV) computations are reviewed and the weights are chosen by minimizing the differences between the hybrid volatility and the realized volatility. A high frequency time series of KOSPI200 index is illustrated via QLIKE and Theil-U statistics.
high frequency time series;realized volatility;weighted hybrid volatility;
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