illiquidity stocks and volatility

misi · May 16th, 2005, 10:57 am

Dear all,how can I compute a right measure of volatility for illiquidity stocks?In fact, If a stock doesn't trade for e.g. two days the raw stock returns in those days are zeros.Obviously this affect the fairness of the volatility measure.On the other hand, if I drop these observations I overstimate the right volatility.please, could anyone help me?misi

farmer · May 16th, 2005, 11:43 am

Translate the 3-day volatility to one-day volatility, and include it three times?