Volume weighted volatility: empirical evidence for a new realised volatility measure

@article{Padungsaksawasdi2018VolumeWV,
  title={Volume weighted volatility: empirical evidence for a new realised volatility measure},
  author={Chaiyuth Padungsaksawasdi and Robert T. Daigler},
  journal={International Journal of Banking, Accounting and Finance},
  year={2018},
  volume={9},
  pages={61-87}
}
We introduce a new conceptually superior realised volatility estimator, volume weighted volatility (VWV), which effectively measures demand-based volatility, rather than only measuring the variability of a price series. We compare the VWV to other return- and range-based measures using the stock index futures, with our results supporting the empirical uniqueness of VWV. First, regressions show that the VWV provides unique information. Second, VWV is (only) weakly associated with other… 
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