{"title":"Some properties of absolute returns as a proxy for volatility","authors":"D. Giles","doi":"10.1080/17446540701720709","DOIUrl":null,"url":null,"abstract":"We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"17 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"15","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701720709","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 15
Abstract
We use the stochastic volatility model as a basis for investigating the statistical properties of absolute returns as a measure of latent volatility in financial markets. Our results are compared with existing results for squared returns.
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