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: 0101 mathematics; 01 natural sciences

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