Realized Volatility and Jumps in the Athens Stock Exchange

27 Pages Posted: 4 Nov 2009

See all articles by Dimitrios D. Thomakos

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics

Dimitrios I. Vortelinos

University of Lincoln; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: October 29, 2009

Abstract

We test for and model volatility jumps for three major indices of the Athens Stock Exchange (ASE). Using intraday data we rst 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 rst 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

JEL Classification: G1, G2, G3

Suggested Citation

Thomakos, Dimitrios D. and Vortelinos, Dimitrios I., Realized Volatility and Jumps in the Athens Stock Exchange (October 29, 2009). Available at SSRN: https://ssrn.com/abstract=1499210 or http://dx.doi.org/10.2139/ssrn.1499210

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

Dimitrios I. Vortelinos (Contact Author)

University of Lincoln ( email )

Brayford Pool
Lincoln, Lincolnshire LN6 7TS
United Kingdom
0044(0)1522835634 (Phone)

HOME PAGE: http://www.lincoln.ac.uk/lbs/staff/3005.asp

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

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