Realized volatility and jumps in the Athens Stock Exchange

Vortelinos, Dimitrios and Thomakos, Dimitrios D. (2012) Realized volatility and jumps in the Athens Stock Exchange. Applied Financial Economics, 22 (2). pp. 97-112. ISSN 0960-3107

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We test for and model the volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intra-day data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to 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 ASE market and, in particular, this is the first time, to the best of our knowledge, that volatility jumps are examined and modelled for the Greek market, using a variety of realized volatility estimators. Finally, we compare the economic value of these volatility estimators and examine their differences in the context of a two-asset portfolio and volatility timing.

Keywords:Athens Stock Exchange, average utility, bipower variation, economic value, heterogeneous autoregressive models, realized volatility, volatility jumps, volatility timing
Subjects:L Social studies > L140 Econometrics
N Business and Administrative studies > N300 Finance
N Business and Administrative studies > N341 Financial Risk
N Business and Administrative studies > N321 Investment
L Social studies > L111 Financial Economics
Divisions:Lincoln International Business School
ID Code:7424
Deposited On:05 Feb 2013 22:26

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