We propose a stochastic price duration model to estimate high-frequency volatility. A price duration is directly linked to volatility from the passage time theory for Brownian motions, and it possesses several advantages over returns for estimating volatility. We employ price durations in a parametric model that directly specifies stochastic volatility dynamics. Our approach allows us to estimate intraday spot volatility and our empirical results suggest the presence of important intraday volatility dynamics. We conduct an extensive integrated variance forecast comparison, which demonstrates the superior performance of our proposed models compared with other duration-based or return-based estimators.

中文翻译：

---

用于估计高频波动性的随机价格持续时间模型

我们提出了一个随机价格持续时间模型来估计高频波动性。根据布朗运动的通过时间理论，价格持续时间与波动性直接相关，并且与估计波动性的回报相比，它具有多个优势。我们在直接指定随机波动动态的参数模型中使用价格持续时间。我们的方法使我们能够估计日内现货波动性，并且我们的实证结果表明存在重要的日内波动性动态。我们进行了广泛的综合方差预测比较，这证明了我们提出的模型与其他基于持续时间或基于回报的估计器相比具有优越的性能。