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.
| Original language | English |
|---|---|
| Pages (from-to) | 198-206 |
| Number of pages | 9 |
| Journal | International Research Journal of Finance and Economics |
| Volume | 1 |
| Issue number | 28 |
| Publication status | Published - Jun 2009 |
Keywords
- Closing Price
- High price
- Low price
- Open Price
- S&P indices
- US
- Volatility