ALLOWING FOR JUMP MEASUREMENTS IN VOLATILITY: A HIGH‐FREQUENCY FINANCIAL DATA ANALYSIS OF INDIVIDUAL STOCKS |
| |
| Authors: | Vassilios G Papavassiliou |
| |
| Affiliation: | University College Dublin, School of Business, Blackrock, Co Dublin, Ireland, Rimini Centre for Economic Analysis (RCEA), Via Patara, Rimini, Italy |
| |
| Abstract: | 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. |
| |
| Keywords: | HAR‐RV model high‐frequency data realized volatility volatility jumps C1 C14 C53 C58 G1 |
|
|
