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Volatility models for stylized facts of high-frequency financial data
Journal of Time Series Analysis ( IF 1.2 ) Pub Date : 2022-08-29 , DOI: 10.1111/jtsa.12666
Donggyu Kim 1 , Minseok Shin 1
Affiliation  

This article introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intraday U-shape, and leverage effect. For example, the daily integrated volatility of the proposed volatility process has a realized GARCH structure with an asymmetric effect on log returns. To further explain the heavy-tailedness of the financial data, we assume that the log returns have a finite 2 b th moment for b ( 1 , 2 ] . Then, we propose a Huber regression estimator that has an optimal convergence rate of n ( 1 b ) / b . We also discuss how to adjust bias coming from Huber loss and show its asymptotic properties.

中文翻译:

高频金融数据程式化事实的波动率模型

本文介绍了新颖的波动扩散模型来解释高频金融数据的程式化事实,例如波动聚类、日内 U 形和杠杆效应。例如,所提出的波动率过程的每日综合波动率具有已实现的 GARCH 结构,对对数收益具有不对称影响。为了进一步解释财务数据的重尾性,我们假设对数收益有一个有限的 2个 b 的那一刻 b ( 1个 , 2个 ] . 然后,我们提出了一个 Huber 回归估计器,其最优收敛率为 n ( 1个 b ) / b . 我们还讨论了如何调整来自 Huber 损失的偏差并显示其渐近特性。
更新日期:2022-08-29
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