ALLOWING FOR JUMP MEASUREMENTS IN VOLATILITY: A HIGH-FREQUENCY FINANCIAL DATA ANALYSIS OF INDIVIDUAL STOCKS

被引：1

作者：

Papavassiliou, Vassilios G. ^{[1
,2
]}

机构：

[1] Univ Coll Dublin, Sch Business, Dublin, Ireland

[2] RCEA, Via Patara, Rimini, Italy

来源：

BULLETIN OF ECONOMIC RESEARCH | 2016年 / 68卷 / 02期

关键词：

HAR-RV model; high-frequency data; realized volatility; volatility jumps; REALIZED VOLATILITY; RETURN VOLATILITY; MODELS;

D O I：

10.1111/boer.12050

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Following recent advances in the non-parametric realized volatility approach, we separately measure the discontinuous jump part of the quadratic variation process for individual stocks and incorporate it into heterogeneous autoregressive volatility models. We analyse the distributional properties of the jump measures vis-a-vis the corresponding realized volatility ones, and compare them to those of aggregate US market index series. We also demonstrate important gains in the forecasting accuracy of high-frequency volatility models.

引用

页码：124 / 132

页数：9

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