Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators
Alexander Saichev, Svetlana Lapinova
TL;DR
This paper compares the statistical properties of four volatility estimators—Garman-Klass, Parkinson, Roger-Satchell, and bridge—to evaluate their effectiveness in point and interval estimations.
Contribution
It provides a comparative analysis of the statistical properties of these four estimators, highlighting their differences and potential advantages.
Findings
Garman-Klass estimator shows lower bias in certain conditions.
Parkinson estimator provides more efficient volatility estimates.
Roger-Satchell estimator captures asymmetric volatility patterns.
Abstract
Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered
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Taxonomy
TopicsStochastic processes and financial applications · Financial Risk and Volatility Modeling · Mathematical Dynamics and Fractals