Answering the Skeptics¶
Andersen, T. G., & Bollerslev, T. (1998). Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts. International Economic Review, 39(4), 885-905.
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Primes¶
- Aliasing
- The continuous source with an information rate is the true price process, which carries real high-frequency structure — sharp intraday rallies and flash crashes, with peak-to-trough swings of, say, 15% within a single day.
This sourceShows that coarse (daily) sampling — e.g., daily squared returns — is a noisy, information-poor measure of volatility, and that high-frequency intraday data are required to recover the latent volatility the daily aggregate hides; supports the daily-sampling-hides-intraday-structure case.
- The continuous source with an information rate is the true price process, which carries real high-frequency structure — sharp intraday rallies and flash crashes, with peak-to-trough swings of, say, 15% within a single day.
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