Spot volatility estimation for high-frequency data

• DOI: 10.4310/sii.2008.v1.n2.a5
• Publication Date: 2013-08-31T01:04:28Z
• Authors: Jianqing Fan; Yazhen Wang
• Keywords: Pointwise; Realized variance; Kernel density estimation

The availability of high-frequency intraday data allows us to accurately estimate stock volatility.This paper employs a bivariate diffusion model the price and volatility an asset investigates kernel type estimators spot based on return data.We establish both pointwise global asymptotic distributions for estimators.