New study reveals key patterns in asset price volatility estimation.
The article uses high-frequency data to study how asset prices change over time. By applying a specific model, the researchers estimate three key parameters related to volatility. They find that the model works well for most stocks and funds, regardless of trade volume. The speed of mean reversion stays consistent, the volatility of volatility is higher than average volatility, and the average price changes slowly but can vary a lot during uncertain market times.