1 / 10

Analyzing Volatility and Jumps in Financial Markets: Insights from Ait-Sahalia and Jacod

This study investigates the dynamics of volatility during market jumps, utilizing advanced statistical tests including the BNS test developed by Ait-Sahalia and Jacod (2008). It explores the significance of jump contributions to the overall volatility measure, especially under conditions where power exceeds 2, magnifying large price increments. The research further incorporates time-of-day effects to assess diffusive variation across different trading periods. The findings provide a comprehensive framework for better understanding market behavior during periods of significant price movements.

lotta
Télécharger la présentation

Analyzing Volatility and Jumps in Financial Markets: Insights from Ait-Sahalia and Jacod

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. Economics 201FS: Volatility and Jumps Grace Shuting Wei Spring 2011 20 April 2011

  2. Investigating volatility during jumps • Previously • BNS test • Ait-Sahalia and Jacod (2008) • This week • Regression of test statistics from Ait-Sahalia and Jacod • Direction of jumps

  3. Ait-Sahalia and Jacod (2008) • Multipower variation • Test statistic • Intuition: When power is large (p >2), the contribution of jumps to B(p) overwhelms everything else. This is because high powers (p >2) magnify the large increments at the expense of the small ones. • Asymptotic values

  4. FDX: A-J Jump Test

  5. UPS: A-J Jump Test

  6. SPFU: A-J Jump Test

  7. Bollerslev, Todorov, and Zheng (2011) • Time-of-Day measures the ratio of the diffusive variation over different parts of the day relative to its average value for the day. • Threshold type test

  8. FDX: BTZ Jump Test

  9. UPS: BTZ Jump Test

  10. SPFU: BTZ Jump Test

More Related