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Heteroscedasticity test of high-frequency data with jumps and market microstructure noise
Liu, Qiang1; Liu, Zhi2,3; Zhang, Chuanhai4
2022-01
Source PublicationApplied Stochastic Models in Business and Industry
ISSN1524-1904
Abstract

In this paper, we are interested in testing whether the volatility process is constant or not during a given time span by using high-frequency data with the presence of jumps and market microstructure noise. Based on estimators of integrated volatility and spot volatility, we propose a nonparametric procedure to depict the discrepancy between local variation and global variation. We show that our proposed test statistic converges to a standard normal distribution if the volatility is constant, and diverges to infinity otherwise. Simulation studies verify the theoretical results and show a good finite sample performance of the test procedure. We also apply our test procedure to some real high-frequency financial datasets. We observe that in almost half of the days tested, the assumption of constant volatility within a day is violated. And this is due to that the stock prices in the periods near the opening and closing are highly volatile and account for a relatively large proportion of intraday variation.

DOI10.1002/asmb.2669
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Interdisciplinary Applications ; Statistics & Probability
WOS IDWOS:000746796100001
Scopus ID2-s2.0-85123539937
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Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Corresponding AuthorLiu, Zhi
Affiliation1.School of Statistics and Management, Shanghai University of Finance and Economics, Shanghai, China
2.Department of Mathematics, University of Macau, Macao
3.UMacau Zhuhai Research Institute, Zhuhai, China
4.School of Finance, Zhongnan University of Economics and Law, Wuhan, China
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Liu, Qiang,Liu, Zhi,Zhang, Chuanhai. Heteroscedasticity test of high-frequency data with jumps and market microstructure noise[J]. Applied Stochastic Models in Business and Industry,2022.
APA Liu, Qiang,Liu, Zhi,&Zhang, Chuanhai.(2022).Heteroscedasticity test of high-frequency data with jumps and market microstructure noise.Applied Stochastic Models in Business and Industry.
MLA Liu, Qiang,et al."Heteroscedasticity test of high-frequency data with jumps and market microstructure noise".Applied Stochastic Models in Business and Industry (2022).
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