TUTCRIS - Tampereen teknillinen yliopisto

TUTCRIS

Jump and volatility dynamics for the s&p500: evidence for infinite-activity jumps with non-affine volatility dynamics from stock and option markets

Tutkimustuotosvertaisarvioitu

Yksityiskohdat

AlkuperäiskieliEnglanti
Sivut811–844
JulkaisuREVIEW OF FINANCE
Vuosikerta21
Numero2
Varhainen verkossa julkaisun päivämäärä2016
DOI - pysyväislinkit
TilaJulkaistu - maaliskuuta 2017
OKM-julkaisutyyppiA1 Alkuperäisartikkeli

Tiivistelmä

Relatively little is known about the empirical performance of infinite-activity Levy jump models, especially with non-affine volatility dynamics. We use extensive empirical data sets to study how infinite-activity Variance Gamma and Normal Inverse Gaussian jumps with affine and non-affine volatility dynamics improve goodness of fit and option pricing performance. With Markov Chain Monte Carlo, different model specifications are estimated using the joint information of the S&P 500 index and the VIX. Our paper provides clear evidence that a parsimonious non-affine model with Normal Inverse Gaussian return jumps and a linear variance specification is particularly competitive, even during the recent crisis.

Julkaisufoorumi-taso

Tilastokeskuksen tieteenalat