Jump Volatility Estimates of High Frequency Data and Analysis Based on HHT

Autor:	Sizhe Hou, Lianqian Yin, Jiangrui Chen, Wei Zhang, Hao-Ting Li, Xiaojie Liu
Rok vydání:	2015
Předmět:	Variance swap Stochastic volatility Financial economics Volatility swap Economics Volatility smile Forward volatility Implied volatility Volatility (finance) Volatility risk premium
Zdroj:	International Journal of Economics and Finance. 7:242
ISSN:	1916-9728 1916-971X
DOI:	10.5539/ijef.v7n11p242
Popis:	As the global financial market risk increases, countries stress more onthe management and prevention of financial risks. These financial risks come from the volatility of the market, and thus we can build more comprehensive understanding of financial markets by analyzing the composition and the law of the financial volatility in different frequency. Based on Hilbert Huang Transform, the realized volatility analysis model is establishedto decompose the volatility into various signal in dissimilar frequency. First of all, the realized leap volatility is obtained through the previous research findings and Capital Asset Pricing Model. Then, considering thenonlinearity and instability of the volatility, we use the Hilbert Huang Transform to decompose the volatility and obtain IMFs in different frequencies and trend functions.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::db8d60d1380b46f6744a741a7ee72299 https://doi.org/10.5539/ijef.v7n11p242 Zobrazit plný text záznamu