An extension of Heterogeneous Autoregressive model for estimating the presence of jumps in volatility, using the realized-range measure as a volatility prox, is proposedy. By focusing on a set of 36 NYSE stocks, we show that there is a positive probability of jumps in volatility.
Estimating jumps in volatility using realized-range measures
ROSSI, EDUARDO;
2012-01-01
Abstract
An extension of Heterogeneous Autoregressive model for estimating the presence of jumps in volatility, using the realized-range measure as a volatility prox, is proposedy. By focusing on a set of 36 NYSE stocks, we show that there is a positive probability of jumps in volatility.File in questo prodotto:
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