Forecasting stock return volatility: Realized volatility-type or duration-based estimators

Research output: Journal PublicationArticlepeer-review


In this paper, we study the predictive performance of two kinds of volatility estimators: the realized volatility (RV) type and duration-based ones. This is motivated by the theoretical and empirical support for these distinct estimators. We use intraday data for 218 component stocks of the CSI 300 index in the Chinese equity market from 2010–2019 and perform in- and out-of-sample 1-, 5-, and 22-day ahead volatility forecasts from combinations of volatility models and these estimators. We show that, although empirically more efficient with the US data, the duration-based estimators fail to compete statistically, or in terms of economic value, with RV-type ones in the Chinese market. We perform a comprehensive set of simulations to rationalize these results and show that duration-based estimators underperform as they cannot handle the occasional heightened level of volatility in the Chinese market.

Original languageEnglish
Pages (from-to)1594-1621
Number of pages28
JournalJournal of Forecasting
Issue number7
Publication statusPublished - Nov 2023


  • Chinese stock market
  • duration-based estimator
  • intraday data
  • market microstructure noise
  • simulation exercises

ASJC Scopus subject areas

  • Economics and Econometrics
  • Computer Science Applications
  • Statistics, Probability and Uncertainty
  • Modelling and Simulation
  • Strategy and Management
  • Management Science and Operations Research


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