Performance of estimators of quadratic variation based on high frequency data—empirical review

Abstract
Recently, advances in computer technology and data recording and storage have made high-frequency financial data readily available to researchers. As a result, the volatility literature has steadily progressed toward the use of higher-frequency data. However, the move towards the use of higher-frequency financial data in the estimation of volatility of financial returns has resulted in the development of many realised volatility measures of asset return variability based on a variety of different assumptions and functional forms and thus making theoretical comparison and selection of the estimators for empirical applications very difficult if not impossible. This article provides an empirical review on the performance of estimators of quadratic variation/integrated variance based on high-frequency data to aid their application in empirical analysis. The result of the review shows that no single estimator works best in all situations; however, the more sophisticated realised measures, in particular the TSRV and KRV, are superior to the other estimators in terms of their estimation accuracy in the presence of market microstructure noise.
Keywords
Quadratic variation, integrated variance, realized variance, realised volatitlty, two scale realized variance, kernel realised variance, quantile realized variance, range realized variance, duration realized variance, bipower realized variance, jump robust estimators