Comparison of range-based volatility estimators against integrated volatility in European emerging markets

This paper explores the effectiveness of eight range-based volatility estimators for seven European emerging markets. It offers added value by: (i) finding a consistent and asymptotically unbiased estimator of integrated volatility for emerging markets, (ii) employing the upper tail dependence for comparison purposes, in addition to standard loss functions, and (iii) recommending the appropriate ex-post volatility measure in the lack of high-frequency data. When no strong preference for a specific estimator is found, the upper tail dependence measure is consulted, confirming the MSE-based ranking for Czech Republic, Greece, Poland, and Romania; and the QLIKE-based ranking for Bulgaria, Croatia, and Hungary.