COMPARATIVE ANALYSIS OF MinRV AND MedRV MEASURES FOR VOLATILITY ESTIMATION AND JUMP DETECTION

Abstract

This study presents a comparative analysis of two volatility measures, Minimum Realized Volatility (MinRV) and Median Realized Volatility (MedRV), in assessing financial market dynamics. We examine the application of these measures in detecting significant price movements and volatility using data from the Nigerian Stock Exchange. Our results show that both MinRV and MedRV measures can be effective in capturing volatility, but they differ in their methodological approaches and estimates. The MinRV measure yields an estimated daily volatility of 2.0% and an annualized MinRV of 28.3%, while the MedRV measure provides stock-specific volatility estimates, with ABCTRANS showing 4.67% volatility. Our analysis highlights the importance of considering multiple volatility measures and methodologies in financial analysis. The findings recommend that investors, policymakers, and other stakeholders consider using a combination of MinRV and MedRV volatility measures to gain a more nuanced understanding of financial market dynamics and identify potential risks and opportunities.

Keywords: Volatility Measures, MinRV, MedRV, Financial Markets, Risk Management, Jump Detection.