The Impact of Jumps in Volatility and Returns
The Impact of Jumps in Volatility and Returns
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DOI：
10.2139/ssrn.249764
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发表时间：
2000-11
期刊：
影响因子：
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通讯作者：
M. Johannes;Bjørn Eraker;Nicholas G. Polson
中科院分区：
文献类型：
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作者：
M. Johannes;Bjørn Eraker;Nicholas G. Polson
本文研究了连续时间随机波动模型，包括跳跃的回报和波动。我们开发了一个基于可能性的估计策略，并使用标准普尔500指数和纳斯达克100指数回报率提供参数，现货波动率，跳跃时间和跳跃大小的估计。对跳跃时间、跳跃规模和波动性的估计对于识别这些因素在市场压力时期（如1987年、1997年和1998年）的影响特别有用。使用正式和非正式的诊断，我们发现强有力的证据跳跃的波动性和跳跃的回报。最后，我们研究了这些因素和估计风险如何影响期权定价。
This paper examines continuous-time stochastic volatility models incorporating jumps in returns and volatility. We develop a likelihood-based estimation strategy and provide estimates of parameters, spot volatility, jump times, and jump sizes using S&P 500 and Nasdaq 100 index returns. Estimates of jump times, jump sizes, and volatility are particularly useful for identifying the effects of these factors during periods of market stress, such as those in 1987, 1997, and 1998. Using formal and informal diagnostics, we find strong evidence for jumps in volatility and jumps in returns. Finally, we study how these factors and estimation risk impact option pricing.