Nonparametric kernel estimation of an isotropic variogram

2004 ◽  
Vol 121 (1) ◽  
pp. 65-92 ◽  
Author(s):  
Pilar H. Garcı́a-Soidán ◽  
Manuel Febrero-Bande ◽  
Wenceslao González-Manteiga
Keyword(s):  
Kernel Estimation ◽  
Nonparametric Kernel ◽  
Nonparametric Kernel Estimation

scholarly journals Volatility Distribution of the DJSTOXXE50 Index

2020 ◽  
Vol 7 (6) ◽  
pp. 101
Author(s):  
Yasemin Ulu
Keyword(s):  
Estimation Method ◽  
Kernel Estimation ◽  
Realized Volatility ◽  
Return Volatility ◽  
Model Free ◽  
Standard Deviations ◽  
Using Data ◽  
The Right ◽  
Nonparametric Kernel ◽  
Nonparametric Kernel Estimation

In this paper using data from 1995-2005 on 5-minute intraday returns, we construct a model free estimate of the daily realized volatility for the DJSTOXXE50 index. We compute the unconditional volatility distribution of the DJSTOXXE50 index by a nonparametric kernel estimation method. Our results indicate that the unconditional volatility distribution of the DJSTOXXE50 returns are leptokurtic and highly skewed to the right. The logarithmic standard deviations seem to be approximately Gaussian. Our results are inline with previous research for individual DJIA equity return volatility and for Japanese index, Nikkei 225

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