Estimation accuracy of high-low spread estimator

•I explore the performance of high-low spread estimator.•Wider true spreads lead to higher estimation accuracy.•A higher level of transaction frequency leads to lower estimation error.•A higher level of volatility leads to a worse estimation error.•Above findings can be explained by the probability of measurement error.

In this paper we analyze the estimation accuracy of high-low spread estimator. It is found that the performance of high-low spread estimator depends on the size of the true spread, the level of transaction frequency, and the degree of volatility. Analyzing the probability of measurement error, it is shown that the high-low spread estimators have better performance when the size of the spread is even wider, when the level of transaction frequency is even higher, or when the degree of volatility is relatively lower.