The Impact of Jumps and Leverage in Forecasting Co-Volatility

• Autores: Manabu Asai, Michael McAleer
• Localización: Documentos de Trabajo (ICAE), ISSN-e 2341-2356, Nº. 2, 2015, págs. 1-23
• Idioma: inglés
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• Dialnet Métricas: 2 Citas
• Resumen

  • The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from the quadratic covariation matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for forecasting weekly and monthly horizons.