How Crashes Develop: Intradaily Volatility and Crash Evolution
基于1983至2008年标普500期货日内数据，研究含波动率跳跃的仿射模型能否捕捉1987年股灾等极端日度异常值，发现自激式短期波动率尖峰比大跳跃更能刻画收益，多因子模型显著提升拟合与预测效果。
ABSTRACT This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self‐exciting but short‐lived volatility spikes capture intradaily and daily returns better. Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out‐of‐sample over 2009 to 2016. The models capture reasonably well the conditional distributions of daily returns and realized variance outliers, but underpredict realized variance inliers. I also examine option pricing implications.