Title: Extreme value volatility estimators and realised volatility of stock prices in Amman Stock Exchange

Authors: Dima Waleed Hanna Alrabadi; Duha Ali Al-Barakat

Addresses: Department of Finance and Banking Sciences, Faculty of Economics and Business Administration Sciences, Yarmouk University, Jordan ' Department of Finance and Banking Sciences, Faculty of Economics and Business Administration Sciences, Yarmouk University, Jordan

Abstract: The aim of this study is to compare between extreme value volatility estimators and other realised volatility estimators in Amman Stock Exchange (ASE) over the period (2012-2016). The dataset consists of daily opening, highest, lowest and closing stock prices for a sample of 100 companies listed in ASE, including 1,236 trading days. The methodology of the study is based on relative efficiency proxies between extreme value volatility estimators. The results of the study show that extreme value volatility estimators are more efficient than other realised volatility estimators. In addition, the Garman-Klass estimator is the most efficient volatility estimator among Parkinson and Rogers-Satchell volatility estimators.

Keywords: extreme value volatility estimators; realised volatility; Parkinson volatility estimator; high-frequency data; Garman-Klass volatility estimator; Rogers-Satchell volatility estimator; Amman Stock Exchange; ASE.

DOI: 10.1504/AAJFA.2023.129542

Afro-Asian Journal of Finance and Accounting, 2023 Vol.13 No.2, pp.210 - 224

Received: 20 Jul 2019
Accepted: 19 Jun 2020
Published online: 14 Mar 2023 *

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