Volatility models for stylized facts of high‐frequency financial data

DOI10.1111/JTSA.12666MaRDI QIDQ6135344zbMATH OpenFDO

Authors Donggyu Kim, Minseok Shin

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.15808

zbMATH Keywords

leverage effectheavy tailvolatility clusteringjump diffusion processhuber loss

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Abstract: This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further explain the heavy-tailedness of the financial data, we assume that the log-returns have a finite $2b$-th moment for $bin(1,2]$. Then, we propose a Huber regression estimator which has an optimal convergence rate of $n^{(1-b)/b}$. We also discuss how to adjust bias coming from Huber loss and show its asymptotic properties.

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Cited in

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