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ALLOWING FOR JUMP MEASUREMENTS IN VOLATILITY: A HIGH‐FREQUENCY FINANCIAL DATA ANALYSIS OF INDIVIDUAL STOCKS
Author(s) -
Papavassiliou Vassilios G.
Publication year - 2016
Publication title -
bulletin of economic research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.227
H-Index - 29
eISSN - 1467-8586
pISSN - 0307-3378
DOI - 10.1111/boer.12050
Subject(s) - volatility (finance) , econometrics , jump , realized variance , autoregressive model , economics , forward volatility , quadratic variation , parametric statistics , stochastic volatility , nonparametric statistics , volatility swap , implied volatility , mathematics , statistics , physics , quantum mechanics , brownian motion
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‐à‐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.