Volatility models for stylized facts of high‐frequency financial data

DOI10.1111/JTSA.12666arXiv2205.15808MaRDI QIDQ6135344FDOQ6135344

Minseok Shin, Donggyu Kim

Publication date: 24 August 2023

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

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.

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)

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Cited In (10)

• Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточности его инструментов
• Title not available (Why is that?)
• On the use of high frequency measures of volatility in MIDAS regressions
• On measuring volatility of diffusion processes with high frequency data
• Towards a unified framework for high and low frequency return volatility modeling
• Financial volatility modeling: The feedback asymmetric conditional autoregressive range model
• A data-dependent approach to modeling volatility in financial time series
• Analysis of high dimensional multivariate stochastic volatility models
• Stochastic volatility models including open, close, high and low prices
• When Moving‐Average Models Meet High‐Frequency Data: Uniform Inference on Volatility

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