New method accurately predicts daily market volatility, outperforming existing estimators.
The study introduces a new method to estimate daily volatility in financial markets using intraday data. By making certain assumptions about intraday returns, including heteroscedasticity and time-varying autocorrelation, the VARHAC estimator is used to calculate daily volatility. The analysis shows that the VARHAC estimator performs well when compared to other methods mentioned in previous studies.