article_rlab_rv
Fetches daily annualized realized volatility for individual stocks, ETFs, and futures from Dacheng Xiu's Risk Lab, using high-frequency data and QMLE methodology.
Instructions
修大成主页-Risk Lab-Realized Volatility :param symbol: str 股票代码 :return: pandas.DataFrame 1996-01-02 0.000000 1996-01-04 0.000000 1996-01-05 0.000000 1996-01-09 0.000000 1996-01-10 0.000000 ... 2019-11-04 0.175107 2019-11-05 0.185112 2019-11-06 0.210373 2019-11-07 0.240808 2019-11-08 0.199549 Name: RV, Length: 5810, dtype: float64
Website https://dachxiu.chicagobooth.edu/
Objective We provide up-to-date daily annualized realized volatilities for individual stocks, ETFs, and future contracts, which are estimated from high-frequency data. We are in the process of incorporating equities from global markets.
Data We collect trades at their highest frequencies available (up to every millisecond for US equities after 2007), and clean them using the prevalent national best bid and offer (NBBO) that are available up to every second. The mid-quotes are calculated based on the NBBOs, so their highest sampling frequencies are also up to every second.
Methodology We provide quasi-maximum likelihood estimates of volatility (QMLE) based on moving-average models MA(q), using non-zero returns of transaction prices (or mid-quotes if available) sampled up to their highest frequency available, for days with at least 12 observations. We select the best model (q) using Akaike Information Criterion (AIC). For comparison, we report realized volatility (RV) estimates using 5-minute and 15-minute subsampled returns.
References
“When Moving-Average Models Meet High-Frequency Data: Uniform Inference on Volatility”, by Rui Da and Dacheng Xiu. 2017.
“Quasi-Maximum Likelihood Estimation of Volatility with High Frequency Data”, by Dacheng Xiu. Journal of Econometrics, 159 (2010), 235-250.
“How Often to Sample A Continuous-time Process in the Presence of Market Microstructure Noise”, by Yacine Aït-Sahalia, Per Mykland, and Lan Zhang. Review of Financial Studies, 18 (2005), 351–416.
“The Distribution of Exchange Rate Volatility”, by Torben Andersen, Tim Bollerslev, Francis X. Diebold, and Paul Labys. Journal of the American Statistical Association, 96 (2001), 42-55.
“Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models”, by Ole E Barndorff‐Nielsen and Neil Shephard. Journal of the Royal Statistical Society: Series B, 64 (2002), 253-280.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| symbol | No | 39693 |