Nonparametric Realized Volatility Estimation in the International Equity Markets

International Review of Financial Analysis, Vol. 28, pp. 34-45, 2013

Posted: 30 Jan 2015

See all articles by Dimitrios I. Vortelinos

Dimitrios I. Vortelinos

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

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics

Date Written: June 26, 2012

Abstract

Using high-frequency intraday data, we construct, test and model seven new realized volatility estimators for six international equity indices. We detect jumps in these estimators, 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 nonparametric realized volatility estimation in terms of volatility jumps being examined and modeled for the international equity market, using such a variety of new realized volatility estimators. The selection of realized volatility estimator greatly affects jump detection, magnitude and modeling. The properties each volatility estimator tries to incorporate affect the detection, magnitude and properties of jumps. These volatility-estimation and jump properties are also evident in jump modeling based on statistical and economic terms.

Keywords: Realized volatility, Optimal sampling, Kernels, Two-scales, Moving average, Long memory, Jumps, Heterogeneous autoregressive models

JEL Classification: G1, C1, C2, C5

Suggested Citation

Vortelinos, Dimitrios I. and Thomakos, Dimitrios D., Nonparametric Realized Volatility Estimation in the International Equity Markets (June 26, 2012). International Review of Financial Analysis, Vol. 28, pp. 34-45, 2013. Available at SSRN: https://ssrn.com/abstract=2557343

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

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/

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
189
PlumX Metrics