On Volatility Proxy

October 23, 2012
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(This article was first published on Eran Raviv » R, and kindly contributed to R-bloggers)

Volatility is unobserved. Hence we need to use observed quantity as a proxy. Every once in a while I still see people using squared daily return as a proxy. However, there is ample evidence that it is a bad one. … Continue reading

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