Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/7694
Title: Time series forecasting of volatility using high frequency data
Authors: Tan, Hai Kang
Ernest, Vinod
Keywords: DRNTU::Business::Finance
Issue Date: 2002
Abstract: This study attempts to investigate whether squared intra daily returns can be used to give superior estimates of volatility. In the existing literature, volatility models for daily returns are improved by including intraday information such as the daily high and low, volume, the number of trades, and intraday returns.
URI: http://hdl.handle.net/10356/7694
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Theses

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