| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11775 |
| 来源ID | Working Paper 11775 |
| Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility | |
| Torben G. Andersen; Tim Bollerslev; Francis X. Diebold | |
| 发表日期 | 2005-11-14 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in Barndorff-Nielsen and Shephard (2004a, 2005) for related bi-power variation measures, the present paper provides a practical and robust framework for non-parametrically measuring the jump component in asset return volatility. In an application to the DM/$ exchange rate, the S&P500 market index, and the 30-year U.S. Treasury bond yield, we find that jumps are both highly prevalent and distinctly less persistent than the continuous sample path variation process. Moreover, many jumps appear directly associated with specific macroeconomic news announcements. Separating jump from non-jump movements in a simple but sophisticated volatility forecasting model, we find that almost all of the predictability in daily, weekly, and monthly return volatilities comes from the non-jump component. Our results thus set the stage for a number of interesting future econometric developments and important financial applications by separately modeling, forecasting, and pricing the continuous and jump components of the total return variation process. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w11775 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569426 |
| 推荐引用方式 GB/T 7714 | Torben G. Andersen,Tim Bollerslev,Francis X. Diebold. Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility. 2005. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w11775.pdf（518KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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