Estimating Volatility for Long Holding Periods
MEASURING RISK IN COMPLEX STOCHASTIC SYSTEMS: SPRINGER LECTURE NOTES IN STATISTICS, Vol. 147, Jurgen Franke, Wolfgang Hardle, Gerhard Stahl, eds., Springer Verlag, 2011
16 Pages Posted: 17 Nov 2011
Date Written: January 1, 2000
Abstract
Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of various short-term interest rate series and study implications for short-rate models.
Keywords: Volatility, financial assets, interest rate time series
JEL Classification: E30
Suggested Citation: Suggested Citation