Realized Volatility and Jumps in the Athens Stock Exchange

Dimitrios Vortelinos () and Dimitrios Thomakos

No 44, Working Papers from University of Peloponnese, Department of Economics

Abstract: We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we first construct several, state-of-the-art realized volatility estimators. We use these estimators to construct the jump components of volatility and perform various tests on their properties. Then we use the class of Heterogeneous Autoregressive (HAR) models for assessing the relevant effects of jumps on volatility. Our results expand and complement the previous literature on the ASE market and, in particular, this is the first time, to the best of our knowledge, that volatility jumps are examined and modeled for the Greek market, using a variety of realized volatility estimators.

Keywords: Athens Stock Exchange; Bipower variation; Heterogeneous autoregressive models; Realized volatility; Volatility jumps. (search for similar items in EconPapers)
Pages: 28 pages
Date: 2009
New Economics Papers: this item is included in nep-ecm, nep-fmk and nep-mst
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Journal Article: Realized volatility and jumps in the Athens Stock Exchange (2012)
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