How Crashes Develop: Intradaily Volatility and Crash Evolution

• 成果类型: Article
• 署名作者: Bates, David S.
• 署名单位: University of Iowa; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12732
• 发表日期: 2019
• 页码: 193-238
• 关键词: stochastic volatility; financial-markets; risk premia; jumps; price; options; models; index; form

摘要

This paper explores whether affine models with volatility jumps estimated on intradaily S&P 500 futures data over 1983 to 2008 can capture major daily outliers such as the 1987 stock market crash. Intradaily jumps in futures prices are typically small; self-exciting but short-lived volatility spikes capture intradaily and daily returns better. Multifactor models of the evolution of diffusive variance and jump intensities improve fits substantially, including out-of-sample over 2009 to 2016. The models capture reasonably well the conditional distributions of daily returns and realized variance outliers, but underpredict realized variance inliers. I also examine option pricing implications.