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Modelling volatility using high, low, open and closing prices: evidence from four S&P indices
| Content Provider | Semantic Scholar |
|---|---|
| Author | Floros, Christos |
| Copyright Year | 2009 |
| Abstract | This paper uses several models (Alizadeh, Brandt and Diebold, 1999; Parkinson, 1980; Garman and Klass, 1980; Rogers and Satchell, 1991) for the calculation of volatility based on high, low, open and closing prices. We use recent daily data from four S&P indices, namely S&P 100, S&P 400, S&P 500 and S&P Small Cap 600. The results show that a simple measure of volatility (defined as the first logarithmic difference between the high and low prices) overestimates the other three measures. |
| Starting Page | 198 |
| Ending Page | 206 |
| Page Count | 9 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://researchportal.port.ac.uk/portal/files/53802/FLOROS_irjfe_28_17.pdf |
| Volume Number | 28 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |