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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Nonparametric Estimation of the Continuous Power Variation and Discrete Volatility Jumps in the Ultra-high Frequency Stock Prices

Vol.22, No.4, December , 16–46


English Version |  Korean Version
  •   (Pusan National University)

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Abstract  

This paper analyzes the realized jump volatility and jump probability of US SPC500 returns using the ultra-high frequency such as the five minute returns spanning the period from January 2001 through September 2010. The realized rate of returns, realized variation and realized bipower variation have the characteristics of nonnormal distributions and the volatility clustering effects. The volatility of US SPC500 appeared appreciably large in years 2002. 2004, 2006 and 2008, and especially large in year 2009 during which the world financial crisis occurred. The empirical results show that many large jumps appeared right after the world financial crisis. Especially before and after the year 2009, the realized variations had the extremely large discrete jumps and appreciably large jumps occurred in years 2002, 2004, 2006 and 2008, respectively. The empirical estimates also show that the realized US SPC500 five minute returns have the jump probability that there is at least one significant jump per five or seven days using the Tripower quarticity, nine or ten days using Quad-power quarticity, ten or twenty days using Min realized variation(Min RV) and Med realized variation(Med RV) during January 2001 through September 2010 at common critical levels.


Keywords
   Nonparametric Volatility Estimation, Realized Power Volatility, Jump Statistic, Jump Probability

JEL classification codes
   G10, G30
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