Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financi...

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Bibliographic Details
Published inJournal of econometrics Vol. 187; no. 1; pp. 293 - 311
Main Authors Liu, Lily Y., Patton, Andrew J., Sheppard, Kevin
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.2015
Elsevier Sequoia S.A
Subjects
Accuracy
Benchmarking
Econometrics
Economic theory
Estimating techniques
Estimation
Financial assets
Frequency
High frequency data
Realized variance
Studies
Variance analysis
Volatility forecasting
C53
C22
Volatility forecasting
High frequency data
Realized variance
C58
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Summary:We study the accuracy of a variety of estimators of asset price variation constructed from high-frequency data (“realized measures”), and compare them with a simple “realized variance” (RV) estimator. In total, we consider over 400 different estimators, using 11 years of data on 31 different financial assets spanning five asset classes. When 5-minute RV is taken as the benchmark, we find little evidence that it is outperformed by any other measures. When using inference methods that do not require specifying a benchmark, we find some evidence that more sophisticated measures outperform. Overall, we conclude that it is difficult to significantly beat 5-minute RV.
Bibliography:ObjectType-Article-1
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ISSN:0304-4076
1872-6895
DOI:10.1016/j.jeconom.2015.02.008