Volatility Jumps
利用VIX指数高频数据，非参数分析股市波动率的跳跃行为，发现波动率是纯跳跃过程，且与价格跳跃高度相关、符号相反，为杠杆效应提供新解释。
The article undertakes a nonparametric analysis of the high-frequency movements in stock market volatility using very finely sampled data on the VIX volatility index compiled from options data by the CBOE. We derive theoretically the link between pathwise properties of the latent spot volatility and the VIX index, such as presence of continuous martingale and/or jumps, and further show how to make statistical inference about them from the observed data. Our empirical results suggest that volatility is a pure jump process with jumps of infinite variation and activity close to that of a continuous martingale. Additional empirical work shows that jumps in volatility and price level in most cases occur together, are strongly dependent, and have opposite sign. The latter suggests that jumps are an important channel for generating leverage effect.