Trading Activity, Realized Volatility and Jumps
35 Pages Posted: 19 Jan 2009 Last revised: 23 Jan 2016
Date Written: January 19, 2009
Abstract
This paper takes a new look at the relation between volume and realized volatility. In contrast to prior studies, we decompose realized volatility into two major components: a continuously varying component and a discontinuous jump component. Our results confirm that the number of trades is the dominant factor shaping the volume-volatility relation, whatever the volatility component considered. However, we also show that the decomposition of realized volatility bears on the volume-volatility relation. Trade variables are positively related to the continuous component only. The well-documented positive volume-volatility relation does not hold for jumps.
Keywords: volume, volatility, transactions, jumps, bi-power variation
JEL Classification: G10, G12, G13
Suggested Citation: Suggested Citation
Do you have negative results from your research you’d like to share?
Recommended Papers
-
Modeling and Forecasting Realized Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
Modeling and Forecasting Realized Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
The Distribution of Realized Exchange Rate Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
The Distribution of Exchange Rate Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
The Distribution of Exchange Rate Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
The Distribution of Stock Return Volatility
By Torben G. Andersen, Tim Bollerslev, ...
-
By Torben G. Andersen, Tim Bollerslev, ...
-
Range-Based Estimation of Stochastic Volatility Models
By Sassan Alizadeh, Michael W. Brandt, ...
-
By Torben G. Andersen, Tim Bollerslev, ...
-
By Torben G. Andersen, Tim Bollerslev, ...