The impact of jumps and leverage in forecasting covolatility
研究了跳跃和杠杆效应在预测协波动率中的作用，改进了协方差估计方法，发现资产间的共同跳跃对未来协波动率有显著影响，但对周度和月度预测影响较小。
The paper investigates the impact of jumps in forecasting covolatility, accommodating leverage effects. We modify the preaveraged truncated covariance estimator of Koike (2016 Koike, Y. (2016). Estimation of integrated covariances in the simultaneous presence of non-synchronicity, microstructure noise and jumps. Econometric Theory 32:533–611.[Crossref], [Web of Science ®] , [Google Scholar]) such that the estimated matrix is positive definite. Using this approach, we can disentangle the estimates of the integrated covolatility matrix and jump variations from the quadratic covariation matrix. Empirical results for three stocks traded on the New York Stock Exchange indicate that the cojumps of two assets have a significant impact on future covolatility, but the impact is negligible for forecasting weekly and monthly horizons.