Estimation of the instantaneous volatility

DOI10.1007/S11203-011-9062-2zbMATH Open1243.62129arXiv0812.3538OpenAlexW2154327976MaRDI QIDQ411549FDOQ411549

Authors: Alexander Alvarez, Fabien Panloup, Monique Pontier, Nicolas Savy 

Publication date: 4 April 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: This paper is concerned with the estimation of the volatility process in a stochastic volatility model of the following form: $d{X}_t=a_{t}dt+sigm{a}_{t}d{W}_t$, where $X$ denotes the log-price and $sigma$ is a c`adl`ag semi-martingale. In the spirit of a series of recent works on the estimation of the cumulated volatility, we here focus on the instantaneous volatility for which we study estimators built as finite differences of the extit{power variations} of the log-price. We provide central limit theorems with an optimal rate depending on the local behavior of $sigma$. In particular, these theorems yield some confidence intervals for $sigm{a}_t$.

Full work available at URL: https://arxiv.org/abs/0812.3538

Recommendations

• Estimation of integrated volatility in stochastic volatility models
• Nonparametric volatility density estimation
• G-M integrated type instantaneous volatility estimation
• Nonparametric estimation for stochastic volatility models
• Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem

zbMATH Keywords

central limit theoremsemimartingalespower variation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Financial Modelling with Jump Processes
• Volatility estimators for discretely sampled Lévy processes
• Title not available (Why is that?)
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Testing for jumps in a discretely observed process
• Title not available (Why is that?)
• La variation d'ordre p des semi-martingales
• Volatility and covariation estimation when microstructure noise and trading times are endogenous
• A central limit theorem for realised power and bipower variation of continuous semimartingales
• Limit theorems for moving averages of discretized processes plus noise
• Estimation of integrated volatility in stochastic volatility models
• Volatility jumps
• Power and multipower variation: inference for high frequency data
• Martingale convergence to mixtures of infinitely divisible laws
• A volatility-varying and jump-diffusion Merton type model of interest rate risk
• Inference for the jump part of quadratic variation of Itô semimartingales

Cited In (24)

• Nonparametric range-based double smoothing spot volatility estimation for diffusion models
• On a real-time scheme for the estimation of volatility
• Central limit theorem for the realized volatility based on tick time sampling
• Quarticity and other functionals of volatility: efficient estimation
• Optimal kernel estimation of spot volatility of stochastic differential equations
• Estimation of integrated volatility in stochastic volatility models
• Estimating the instantaneous volatility and covariance of risky assets
• On the complete consistency of the kernel estimator of spot volatility
• Parametric estimation for discretely observed stochastic processes with jumps
• Nonparametric estimation of the volatility function in a high-frequency model corrupted by noise
• Real-time estimation scheme for the spot cross volatility of jump diffusion processes
• Estimation of integrated volatility of volatility with applications to goodness-of-fit testing
• Correcting spot power variation estimator via Edgeworth expansion
• Fourier transform methods for pathwise covariance estimation in the presence of jumps
• Testing the local volatility assumption: a statistical approach
• Volatility estimation from short time series of stock prices
• Bootstrapping Laplace transforms of volatility
• Estimation of Volatility Functionals: The Case of a $$\sqrt{n}$$ Window
• Spot volatility estimation using delta sequences
• Estimating the long rate and its volatility
• An unbounded intensity model for point processes
• Testing for non-correlation between price and volatility jumps
• Title not available (Why is that?)
• Statistical decomposition of volatility

This page was built for publication: Estimation of the instantaneous volatility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q411549)