IDEAS home Printed from https://ideas.repec.org/a/spr/annopr/v336y2024i1d10.1007_s10479-022-04924-9.html
   My bibliography  Save this article

Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data

Author

Listed:
  • Iacopo Raffaelli

    (Scuola Normale Superiore)

  • Simone Scotti

    (University of Pisa)

  • Giacomo Toscano

    (University of Firenze)

Abstract

We introduce a novel stochastic volatility model with price and volatility co-jumps driven by Hawkes processes and develop a feasible maximum-likelihood procedure to estimate the parameters driving the jump intensity. Using S &P500 high-frequency prices over the period May 2007–August 2021, we then perform a goodness-of-fit test of alternative jump intensity specifications and find that the hypothesis of the intensity being linear in the asset volatility provides the relatively best fit, thereby suggesting that jumps have a self-exciting nature.

Suggested Citation

  • Iacopo Raffaelli & Simone Scotti & Giacomo Toscano, 2024. "Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data," Annals of Operations Research, Springer, vol. 336(1), pages 27-45, May.
    • Handle: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04924-9
    DOI: 10.1007/s10479-022-04924-9
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s10479-022-04924-9
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s10479-022-04924-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:annopr:v:336:y:2024:i:1:d:10.1007_s10479-022-04924-9. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.