Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks
利用高频数据统计检验市场微观结构噪声对波动率估计的影响，发现噪声在2-3分钟及以上频率有显著效应，且恒定方差的独立同分布模型在非超高频率下是合理的。
Transaction prices of financial assets are contaminated by market microstructure effects. This is particularly relevant when estimating volatility using high frequency data. In this article, we assess statistically the effect of microstructure noise on volatility estimators, and test the hypothesis that its variance is independent of the sampling frequency. We provide evidence based on the Dow Jones Industrial Average stocks.We find that noise has a statistically significant effect on volatility estimators at frequencies of 2-3 min or higher. The independently and identically distributed specification with constant variance seems to be a plausible model for microstructure noise, except for ultra high frequencies. © 2009 American Statistical Association.