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.
Massimiliano, Caporin; Eduardo, Rossi; Santucci de Magistris, Paolo. (2012). Estimating jumps in volatility using realized-range measures. In 46th Scientific Meeting Of The Italian Statistical Society (pp. 1- 9). https://www.semanticscholar.org/paper/Estimating-jumps-in-volatility-using-realized-range-Caporin-Rossi/6d00d361e90b0d0c788308938b89e396e5fa9d1a#paper-header.
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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