Optimally Sampled Realized Range-Based Volatility Estimators

Range-based volatility estimators are analyzed in both daily and intraday sampling frequency and are also compared to the realized volatility estimator. The family of realized range-based estimators is extended as three range-based estimators are introduced. These three realized Parkinson range-based estimators are estimated inan optimal sampling frequency. Empirical analysis concerns three major US spot equity indices. The descriptive statistics and the long-memory estimations are compared between the daily and realized range-based estimators, and across each group as well. The realized range-based estimators are also compared in terms of the proper-ties of the jump components of volatility. Moreover, the relevanteffects of jumps on volatility are assessed by the use of the class of Heterogeneous Autoregressive (HAR) models