Suppose that a researcher wanted to obtain an estimate of realised (“actual”) volatility. Which one of the following is likely to be the most accurate measure of volatility of stock returns f
4/20
Suppose that a researcher wanted to obtain an estimate of realised (“actual”) volatility. Which one of the following is likely to be the most accurate measure of volatility of stock returns for a particular day?
The price range (high minus low) on that day
The squared return on that day
The sum of the squares of hourly returns on that day