We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the presence of jumps in volatility, using the realizedrangemeasure as a volatility proxy. By focusing on a set of 36 NYSE stocks,we show that there is a positive probability of jumps in volatility.
Estimating jumps in volatility using realized-range measures / Massimiliano, Caporin; Eduardo, Rossi; Santucci de Magistris, Paolo. - 46th Scientific Meeting Of The Italian Statistical Society, (2012), pp. 1-9. (46th Scientific Meeting Of The Italian Statistical Society, Roma, Italia, June 20-22, 2012).
Estimating jumps in volatility using realized-range measures
Paolo Santucci
2012
Abstract
We introduce a generalization of the Heterogeneous Autoregressive (HAR)model for estimating the presence of jumps in volatility, using the realizedrangemeasure as a volatility proxy. By focusing on a set of 36 NYSE stocks,we show that there is a positive probability of jumps in volatility.
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