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Volatility activity: Specification and estimation

Publication ,  Journal Article
Todorov, V; Tauchen, G; Grynkiv, I
Published in: Journal of Econometrics
January 1, 2014

The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for estimating and evaluating, using price data alone, a general encompassing model for volatility dynamics where volatility activity is unrestricted. The nonparametric application to VIX data, along with model estimation for S&P index returns, suggests that volatility moves are best captured by an infinite variation pure-jump martingale with a symmetric jump compensator around zero. The latter provides a parsimonious generalization of the jump-diffusions commonly used for volatility modeling.

Duke Scholars

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 2014

Volume

178

Issue

PART 1

Start / End Page

180 / 193

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics
 

Citation

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ICMJE
MLA
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Todorov, V., Tauchen, G., & Grynkiv, I. (2014). Volatility activity: Specification and estimation. Journal of Econometrics, 178(PART 1), 180–193. https://doi.org/10.1016/j.jeconom.2013.08.015
Todorov, V., G. Tauchen, and I. Grynkiv. “Volatility activity: Specification and estimation.” Journal of Econometrics 178, no. PART 1 (January 1, 2014): 180–93. https://doi.org/10.1016/j.jeconom.2013.08.015.
Todorov V, Tauchen G, Grynkiv I. Volatility activity: Specification and estimation. Journal of Econometrics. 2014 Jan 1;178(PART 1):180–93.
Todorov, V., et al. “Volatility activity: Specification and estimation.” Journal of Econometrics, vol. 178, no. PART 1, Jan. 2014, pp. 180–93. Scopus, doi:10.1016/j.jeconom.2013.08.015.
Todorov V, Tauchen G, Grynkiv I. Volatility activity: Specification and estimation. Journal of Econometrics. 2014 Jan 1;178(PART 1):180–193.
Journal cover image

Published In

Journal of Econometrics

DOI

ISSN

0304-4076

Publication Date

January 1, 2014

Volume

178

Issue

PART 1

Start / End Page

180 / 193

Related Subject Headings

  • Econometrics
  • 4905 Statistics
  • 3802 Econometrics
  • 3801 Applied economics
  • 1403 Econometrics
  • 1402 Applied Economics
  • 0104 Statistics