Cartea, Alvaro and Karyampas, Dimitrios (2016) The relationship between the volatility of returns and the number of jumps in financial markets. Econometric Reviews 35 (6), pp. 929-950. ISSN 0747-4938.
This is the latest version of this item.
Abstract
We propose a methodology to employ high frequency financial data to obtain estimates of volatility of log-prices which are not affected by microstructure noise and Lévy jumps. We introduce the ‘number of jumps’ as a variable to explain and predict volatility and show that the number of jumps in SPY prices is an important variable to explain the daily volatility of the SPY log-returns, has more explanatory power than other variables (e.g., high and low, open and close), and has a similar explanatory power to that of the VIX. Finally, number of jumps is very useful to forecast volatility and contains information that is not impounded in the VIX.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | High-frequency data, Implied volatility, Jumps, Microstructure noise, VIX, Volatility forecasts |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Administrator |
| Date Deposited: | 30 Oct 2014 09:31 |
| Last Modified: | 02 Aug 2023 17:13 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/10824 |
Available Versions of this Item
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The relationship between the volatility of returns and the number of jumps in financial markets. (deposited 09 Jul 2013 14:27)
- The relationship between the volatility of returns and the number of jumps in financial markets. (deposited 30 Oct 2014 09:31) [Currently Displayed]
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