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arXiv · 2604.27665

A note on estimation of quarticity based on spot volatility

Yi Guo
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Abstract

In this paper, we aim at estimating the quarticity of continuous It\^{o} semimartingales. Instead of using some classical estimators, we introduce a more intuitive one and establish a central limit theorem (CLT) for it, with a convergence rate of $1/\sqrt{\Delta_n}$ in the sense of stable convergence. Moreover, we compare the asymptotic variance of this estimator with that of other existing estimators.

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Yi Guo. 2026-04-30. A note on estimation of quarticity based on spot volatility. https://arxiv.org/abs/2604.27665

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