Testing mean stationarity of intraday volatility curves

• 成果类型: Article
• 署名作者: Andersen, Torben G.; Tan, Yingwen; Todorov, Viktor; Zhang, Zhiyuan
• 署名单位: Northwestern University; Shanghai University of Finance & Economics; Northwestern University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE2644
• 发表日期: 2025
• 页码: 1059-1091
• 关键词: Functional invariance principle; high-frequency data; stationarity test; structural break; volatility curves; C12; C14; C58

摘要

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for real-time risk management and market activity measurement, including identification of spot volatility and the size of price jumps.