New Zealand Statistical Association
2004 Conference

Submitted Talks

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John Randal
School of Economics and Finance, VUW

Estimating the Variability of Financial Returns

Evolving volatility and heavy-tailed returns are among the stylised facts of stock returns. We consider robust estimation of the moving volatility and find that an estimator based on the t family of distributions is easy to compute and performs well in simulation studies. A correction factor which allows robust estimation of moving standard deviation is developed.