Weighted Median Realized Volatility and Its Application in China’s Stock Market

Ming Yuan Guo

doi:10.4028/www.scientific.net/AMR.403-408.5235

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 403-408Weighted Median Realized Volatility and Its...

Weighted Median Realized Volatility and Its Application in China’s Stock Market

Abstract:

Median realized volatility is a new measure approach of volatility in high-frequency time series. Median realized volatility is model-free and can be computed easily. Weighted median realized volatility is a more efficient volatility measurement, which make median realized volatility become its special case. In this paper, we compare Median realized volatility and weighted Median realized volatility from four aspects: definition, bias, efficiency, calendar effect. Through the empirical study on the Shanghai stock market, this paper proves weighted Median realized volatility is superior to Median Realized Volatility.

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Periodical:

Advanced Materials Research (Volumes 403-408)

Pages:

5235-5238

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.403-408.5235

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Online since:

November 2011

Authors:

Ming Yuan Guo

Keywords:

Bias, Calendar Effect, Efficiency, Median Realized Volatility, Weighted Median Realized Volatility

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