Economics 201FS: Volatility and Jumps Grace Shuting Wei Spring April

Investigating volatility during jumps Previously – BNS test – Ait-Sahalia and Jacod (2008) This week – Regression of test statistics from Ait-Sahalia and Jacod – Direction of jumps 2

Ait-Sahalia and Jacod (2008) Multipower variation Test statistic Intuition: When power is large (p >2), the contribution of jumps to B(p) overwhelms everything else. This is because high powers (p >2) magnify the large increments at the expense of the small ones. Asymptotic values 3

FDX: A-J Jump Test 4 InterceptCoefficientP-val 1P-val 2 RV BV MedV MinV

UPS: A-J Jump Test 5 InterceptCoefficientP-val 1P-val 2 RV BV MedV MinV

SPFU: A-J Jump Test 6 InterceptCoefficientP-val 1P-val 2 RV BV MedV MinV

Bollerslev, Todorov, and Zheng (2011) Time-of-Day measures the ratio of the diffusive variation over different parts of the day relative to its average value for the day. Threshold type test 7

FDX: BTZ Jump Test 8 RV Positive Negative Cont CV Positive Negative Cont

UPS: BTZ Jump Test 9 RV Positive Negative Cont CV Positive Negative Cont

SPFU: BTZ Jump Test 10 RV Positive Negative Cont CV Positive Negative Cont