Nonparametric realized volatility estimation in the international equity markets

Vortelinos, Dimitrios I. and Thomakos, Dimitrios D. (2013) Nonparametric realized volatility estimation in the international equity markets. International Review of Financial Analysis, 28 . pp. 34-45. ISSN 1057-5219

Full content URL: http://dx.doi.org/10.1016/j.irfa.2013.02.010

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Item Type:Article
Item Status:Live Archive

Abstract

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, construct the jump components of volatility and perform various tests on their properties. Then we use the class of heterogeneous autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the nonparametric realized volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a variety of new realized volatility estimators. The selection of realized volatility estimator greatly affects jump detection, magnitude and modeling. The properties each volatility estimator tries to incorporate affect the detection, magnitude and properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and economic terms.

Keywords:Realized volatility, Optimal sampling, Kernels, Two scales, Moving average, Long memory, Jumps, Heterogeneous autoregressive models
Subjects:L Social studies > L111 Financial Economics
Divisions:Lincoln International Business School
ID Code:8412
Deposited On:27 Mar 2013 09:46

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