Estimation Of Instantaneous Volatility Distribution Based On High Frequency And Low Frequency Data

Volatility is an important quantitative measure of the risk of financial assets,and it is used throughout the whole financial field,such as asset pricing,portfolio opti-mization,risk management,and so on.High-frequency financial data contains more market information,using it can make better predictions of volatility.Therefore,peo-ple are increasingly concerned about the study of volatility based on high frequency data.In this paper,we propose a new volatility distribution estimation method,and the main work can be summarized as follows:1.The estimate of the instantaneous volatility is given by using the intraday high frequency logarithmic price data.2.The true kernel density estimator f(x)is consistent when the instantaneous volatility is a smooth mixing process.3.Using the instantaneous volatility estimate instead of the true instantaneous volatility to get the kernel density estimate f(x),and f(x)is approximately equivalent to the true kernel density estimate f(x).4.The data simula-tion study verifies the validity of the proposed method for estimating the instantaneous volatility distribution,and we used a set of actual data for empirical analysis.