Realised volatility estimators

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dc.contributor.advisorTaylor, Daviden_ZA
dc.contributor.authorKönigkrämer, Sörenen_ZA
dc.date.accessioned2014-10-17T10:09:55Z
dc.date.available2014-10-17T10:09:55Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThis dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories of estimators: historical, high-frequency (HF) and implied. The need to estimate RV is predominantly in the hedging of options and is not concerned with speculation or forecasting. The main research questions are; (1) what is the best RV estimator in a historical study of S&P 500 data? (2) What is the best RV estimator in a Monte Carlo simulation when delta hedging synthetic options? (3) Do our findings support the stylized fact of `Asymmetry in time scales' (Cont, 2001)? In the answering of these questions, further avenues of investigation are explored. Firstly, the VIX is used as the implied volatility. Secondly, the Monte Carlo simulation generates stock price paths with random components in the stock price and the volatility at each time point. The distribution of the input volatility is varied. The question of asymmetry in time scales is addressed by varying the term and frequency of historical data. The results of the historical and Monte Carlo simulation are compared. The SSR and two of the HF estimators perform best in both cases. Accuracy of estimators using long term data is shown to perform very poorly.en_ZA
dc.identifier.apacitationKönigkrämer, S. (2014). <i>Realised volatility estimators</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/8526en_ZA
dc.identifier.chicagocitationKönigkrämer, Sören. <i>"Realised volatility estimators."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/8526en_ZA
dc.identifier.citationKönigkrämer, S. 2014. Realised volatility estimators. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Königkrämer, Sören AB - This dissertation is an investigation into realised volatility (RV) estimators. Here, RV is defined as the sum-of-squared-returns (SSR) and is a proxy for integrated volatility (IV), which is unobservable. The study focuses on a subset of the universe of RV estimators. We examine three categories of estimators: historical, high-frequency (HF) and implied. The need to estimate RV is predominantly in the hedging of options and is not concerned with speculation or forecasting. The main research questions are; (1) what is the best RV estimator in a historical study of S&P 500 data? (2) What is the best RV estimator in a Monte Carlo simulation when delta hedging synthetic options? (3) Do our findings support the stylized fact of `Asymmetry in time scales' (Cont, 2001)? In the answering of these questions, further avenues of investigation are explored. Firstly, the VIX is used as the implied volatility. Secondly, the Monte Carlo simulation generates stock price paths with random components in the stock price and the volatility at each time point. The distribution of the input volatility is varied. The question of asymmetry in time scales is addressed by varying the term and frequency of historical data. The results of the historical and Monte Carlo simulation are compared. The SSR and two of the HF estimators perform best in both cases. Accuracy of estimators using long term data is shown to perform very poorly. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Realised volatility estimators TI - Realised volatility estimators UR - http://hdl.handle.net/11427/8526 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8526
dc.identifier.vancouvercitationKönigkrämer S. Realised volatility estimators. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8526en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleRealised volatility estimatorsen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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