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Posts tagged "Econometrics"

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All posts tagged with "Econometrics" in reverse chronological order.

All posts tagged with "Econometrics" in reverse chronological order.

Comparison of Estimators of Equity Return Standard Deviation Using Pitman Closeness Criterion and Control Charting Applications

Measurement of dispersion and variation have been studied and evaluated in many applications. Volatility in the field of finance is an important measure as it directly impacts allocation, risk management, and valuation. Pitman Closeness criterion is used to compare estimators of standard deviation from equity returns in a control charting application. Three estimators are evaluated over the 30 DJIA component stocks in an effort to determine if one method of estimation has better performance within an application of control charting for identifying outliers. The study uses three sample sizes to also determine if the better estimator is sample size dependent.

11 min read
Publication, Finance, Volatility, Risk Management, Econometrics

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.

13 min read
Publication, Finance, Volatility, Econometrics, Risk Management