Nonlinear Dynamic Characteristic Analysis of Conditional Jump Duration

Authors

  • Jiayi Xu
  • Lianqian Yin

DOI:

https://doi.org/10.54691/bcpbm.v15i.291

Keywords:

Realized Jump; Time Duration; Autoregressive Conditional Duration Model (ACD).

Abstract

Based on the five-minute tick market data of the Shanghai Composite Index from 2015 to 2019, the time duration of the jumps is realized by extracting the dynamic behavior model of the asset price to achieve the jumps, the dynamic process of the jump changes is described, and the broad ACD (1,1) model is established for the time duration sequence, which achieves a good fit for the dynamic behavior of the jump time duration. The results show that there is also aggregation effect in the time duration of the jumps, which shows that the intermittent phenomenon of the jump in asset prices opens up new ideas for further studying the characteristics and movement laws of asset price jump behavior from the perspective of jumping intensity.

Downloads

Download data is not yet available.

References

Merton RC. On estimating the expected return on the market: An exploratory investigation[J]. Journal of Financial Economics, 1980, 8(4): 323–361.

Andersen TG, Bollerslev T, Huang X. A Reduced Form Framework for Modeling Volatility of Speculative Prices Based on Realized Variation Measures[EB/OL]. [2007]. Working paper series in Department of Economics of University of Oklahoma.

Engle, R.F. and Russell, J.R. (1998). Autoregressive conditional duration: A new model for irregularly spaced transaction data. Econometrica66: 1127-1162.

Zhang, M.Y., Russell, J.R., and Tsay, R.S. (2001). A nonlinear autoregressive conditional duration model with applications to financial transaction data. Journal of Econometrics104: 179-207.

Ma Dan, and Yin Youping. Analysis of noise, Jump and High Frequency Price Fluctuation--Realization of Fluctuation Based on Threshold Preaverage. Financial research. 04(2012):124-139.

Bandi F, Russell J. Separating Market Microstructure Noise from Volatility[J]. Journal of Financial Economics, 2006, 79(3).

Tauchen G, Zhou H. Realized Jumps on Financial Markets and Predicting Credit Spreads[J]. Journal 2011 (1).

Lianqian-Yin, Yutian-Zhou, Huamei-Wu. Research on China's Asset Price Jump Behavior--Analysis Based on High Frequency Dataset [J]; Forum on Statistics and Information, 2015,30(5): 57-62.

Kehong-Geng, Shiying-Zhang. A ACD-GARCH-V Model of UHF Time Series in Financial Markets[J]. Statistics and decision-making, 2007, 232(4): 81-83.

Lina-Dai, Jing-Rui. A Nonparametric ACD Model and Its Empirical Study in China Stock Market[J]. Forum on Statistics and Information, 2006(3): 96-99.

Downloads

Published

2021-12-30

How to Cite

Xu, J., & Yin, L. (2021). Nonlinear Dynamic Characteristic Analysis of Conditional Jump Duration. BCP Business & Management, 15, 330-336. https://doi.org/10.54691/bcpbm.v15i.291