Estimation of the Hurst Parameter in Spot Volatility

Yicun Li and Yuanyang Teng
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Yicun Li: Business School, Zhejiang University City College, Hangzhou Yiyuan Technology Co., Ltd., Hangzhou 310015, China
Yuanyang Teng: School of Management, Zhejiang University, Hangzhou Yiyuan Technology Co., Ltd., Hangzhou 310027, China

Mathematics, 2022, vol. 10, issue 10, 1-26

Abstract: This paper contributes in three stages in a logic of the cognitive process: we firstly propose a new estimation of Hurst exponent by changing frequency method which is purely mathematical. Then we want to check if the new Hurst is efficient, so we prove the advantages of this new Hurst in asymptotic variance in the perspective compared with other two Hurst estimator. However, a purely mathematical game is not enough, a good estimation should be proven by reality, so we apply the new Hurst estimator into truncated and non-truncated spot volatility which fills the gap of previous literatures using 5-min price data (Source: Wind Financial Terminal) of 10 Chinese A-share industry indices from 1 January 2005 until 31 December 2020.

Keywords: spot volatility; change of frequency; roughness of volatility; hurst exponent; Chinese A-share market (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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