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Volatility activity: Specification and estimation
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DOI：10.1016/j.jeconom.2013.08.015.png)
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摘要
En 中文
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for estimating and evaluating, using price data alone, a general encompassing model for volatility dynamics where volatility activity is unrestricted. The nonparametric application to VIX data, along with model estimation for S&P index returns, suggests that volatility moves are best captured by an infinite variation pure-jump martingale with a symmetric jump compensator around zero. The latter provides a parsimonious generalization of the jump-diffusions commonly used for volatility modeling. (C) 2013 Elsevier B.V. All rights reserved.
Keyword:
Asymmetric volatility activity
High-frequency data
Laplace transform
Signed power variation
Specification testing
Stochastic volatility
Volatility jumps
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被引数:
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