Empirical Economics

, Volume 54, Issue 3, pp 1297–1318 | Cite as

S&P500 volatility analysis using high-frequency multipower variation volatility proxies

  • Wen Cheong Chin
  • Min Cherng Lee


The availability of ultra-high-frequency data has sparked enormous parametric and nonparametric volatility estimators in financial time series analysis. However, some high-frequency volatility estimators are suffering from biasness issues due to the abrupt jumps and microstructure effect that often observed in nowadays global financial markets. Hence, we motivate our studies with two long-memory time series models using various high-frequency multipower variation volatility proxies. The forecast evaluations are illustrated using the S&P500 data over the period from year 2008 to 2013. Our empirical studies found that higher-power variation volatility proxies provide better in-sample and out-of-sample performances as compared to the widely used realized volatility and fractionally integrated ARCH models. Finally, these empirical findings are used to estimate the one-day-ahead value-at-risk of S&P500.


Efficient market hypothesis Realized volatility Multipower variation volatility 



The authors would like to thank the financial support from the Malaysia Ministry of Higher Education (MOHE) under the Fundamental Research Grant Scheme (FRGS) EP160022.


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2017

Authors and Affiliations

  1. 1.Faculty of Management, SIG Quantitative of Economics and FinanceMultimedia UniversityCyberjayaMalaysia
  2. 2.Department of MathematicsXiamen University MalaysiaSepangMalaysia
  3. 3.School of Information TechnologyMonash UniversitySubang JayaMalaysia

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