Volatility Estimators With High-Frequency Data From Bucharest Stock Exchange

In this paper, we have focused on accurately volatility estimation due to its crucial importance in investment and risk management activities. Based on tick by tick data, provided by Thomson Reuters, we have realized a comparative study among different high-frequency volatility estimators for some of the most important three companies listed on Bucharest Stock Exchange. Our findings emphasize that the presence of jumps or microstructure noises affect the efficiency of realized volatility estimator. So, based on data architecture, we have used adequate estimators jump and noise robust. We concluded that for less liquid markets, the presence of more visible jumps leads to higher intra-day volatilities comparing with more liquid markets.