A Pitman Closeness Evaluation of Range-based Estimators in Shortened Time Horizons

The findings of this study are similar to those of Chow, et al (2018) where the Parkinson Estimator outperforms the other range-based estimators when comparing the volatility of the weekly average of the daily returns. When looking at the variances of the weekly averages of the weekly returns the Parkinson Estimator is again superior when considering the MSE method of comparison. However, the Rogers & Satchell Estimator is slightly a better performer than the Parkinson Estimator when considering the comparisons of MAD and PC. As is often the case, the most appropriate method of comparison is often dependent on more than one aspect of your study. However, from these results the time interval is less impactful on the overall performance of the estimators than the method of overall comparison. Future research may look at shorter time horizons at monthly or weekly intervals, and could utilize high frequency data for establishing the calculated measure for variance.