The relationship between the volatility of returns and the number of jumps in financial markets
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
-
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]
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
 |
Edit/View Item |