Estimating Stochastic Volatility Within a Trading Day
Author | : Sibo YAN |
Publisher | : |
Total Pages | : 151 |
Release | : 2017 |
ISBN-10 | : OCLC:1078249712 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Estimating Stochastic Volatility Within a Trading Day written by Sibo YAN and published by . This book was released on 2017 with total page 151 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis uses high-frequency data to characterize the volatility of asset prices within a trading day. The estimation procedure applies the generalized method of moments (GMM) to the Heston (1993) model of stochastic volatility. I apply the estimation to SPY in chapter 1 and to other 8 assets in chapter 2. I compare estimation results and discuss the implications and applicability of the model. In Chapter 3 I examine the path behavior of realized volatility and provide evidence that it is important to allow jumps in the Heston model.