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Modeling Volatility & Jumps in the Athens Stock Exchange


  • Dimitrios Vortelinos


In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE), expanding the previous literature on the ASE in various ways. Using intraday data I first construct various state-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE. The jump detection scheme allows, beyond testing for jumps, the extraction of both the jump and continuous components of volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This is the rst time, to the best of my knowledge, that volatility jumps are examined and modeled for the GD of the ASE, using a variety of realized volatility estimators.

Suggested Citation

  • Dimitrios Vortelinos, 2009. "Modeling Volatility & Jumps in the Athens Stock Exchange," Working Papers 00043, University of Peloponnese, Department of Economics.
  • Handle: RePEc:uop:wpaper:00043

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    References listed on IDEAS

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    Athens Stock Exchange; range-based volatility; optimal sampling; heterogeneous autoregres- sive models; realized volatility; volatility jumps.;

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