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Allowing For Jump Measurements In Volatility: A High-Frequency Financial Data Analysis Of Individual Stocks

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  • Vassilios G. Papavassiliou

Abstract

type="main"> 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.

Suggested Citation

  • Vassilios G. Papavassiliou, 2016. "Allowing For Jump Measurements In Volatility: A High-Frequency Financial Data Analysis Of Individual Stocks," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 124-132, April.
    • Handle: RePEc:bla:buecrs:v:68:y:2016:i:2:p:124-132
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    References listed on IDEAS

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