Bootstrapping Realized Volatility外文电子书籍.pdfVIP

Econometrica , Vol. 77, No. 1 (January, 2009), 283–306 BOOTSTRAPPING REALIZED VOLATILITY BY SÍLVIA GONÇALVES AND NOUR MEDDAHI1 We propose bootstrap methods for a general class of nonlinear transformations of realized volatility which includes the raw version of realized volatility and its logarith- mic transformation as special cases. We consider the independent and identically dis- tributed (i.i.d.) bootstrap and the wild bootstrap (WB), and prove their first-order as- ymptotic validity under general assumptions on the log-price process that allow for drift and leverage effects. We derive Edgeworth expansions in a simpler model that rules out these effects. The i.i.d. bootstrap provides a second-order asymptotic refinement when volatility is constant, but not otherwise. The WB yields a second-order asymptotic re- finement under stochastic volatility provided we choose the external random variable used to construct the WB data appropriately. None of these methods provides third- order asymptotic refinements. Both methods improve upon the first-order asymptotic theory in finite samples. KEYWORDS: Realized volatility, i.i.d. bootstrap, wild bootstrap, Edgeworth expan- sions. 1. INTRODUCTION THE INCREASING AVAILABILITY of high frequency financial data has con- tributed to the popularity of realized volatility as a measure of volatility in fi- nance. Realized volatility is simple to compute (it is equal to the sum of squared high frequency returns) and is a consistent estimator of integrated volatility under general conditions (see Andersen, Bollerslev, and Diebold (2002) for a survey of realized volatility). Recently, a series of papers, including Barndorff-Nielsen and Shephard (henceforth BNS) (2002) and Barndorff-Nielsen, Graversen, Jacod, a