Publications [#238930] of George E. Tauchen
Journal Articles
- Todorov, V; Tauchen, G; Grynkiv, I, Volatility activity: Specification and estimation,
Journal of Econometrics, vol. 178 no. PART 1
(January, 2014),
pp. 180-193, ISSN 0304-4076 [doi]
(last updated on 2024/01/01)Abstract:
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for estimating and evaluating, using price data alone, a general encompassing model for volatility dynamics where volatility activity is unrestricted. The nonparametric application to VIX data, along with model estimation for S&P index returns, suggests that volatility moves are best captured by an infinite variation pure-jump martingale with a symmetric jump compensator around zero. The latter provides a parsimonious generalization of the jump-diffusions commonly used for volatility modeling.