Jumps in the Volatility of Financial Markets
Benoit Perron ()
Cahiers de recherche from Universite de Montreal, Departement de sciences economiques
Recent work suggests that the conditional variance of financial returns may exhibit sudden jumps. This paper extends a non-parametric procedure to detect discontinuities in otherwise continuous functions of a random variable developed by Delgado and Hidalgo (1996) to higher conditional moments, in particular the conditional variance. Simulation results show that the procedure provides reasonable estimates of the number and location of jumps. This procedure detects several jumps in the conditional variance of daily returns on the S&P 500 index.
Keywords: jum; conditional variance; kernel; one-sided windows (search for similar items in EconPapers)
JEL-codes: C20 G12 C51 C50 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:9912
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