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SUMMARY:How Crashes Develop:  Intradaily Volatility and Crash Evolution
DTSTART:20170602T103000
DTEND:20170602T120000
DTSTAMP:20260407T130757Z
UID:0331db2ec6ad166bc233c12153627fdb1db212a51a2b534fa671d657
CATEGORIES:Conferences - Seminars
DESCRIPTION:David BATES (Iowa University)\nThis paper explores whether aff
 ine models with volatility jumps estimated on intradaily S&P 500 futures d
 ata over 1983-2008 can capture major daily outliers such as the 1987 stock
  market crash.  I find that intradaily jumps in futures prices are typica
 lly small\, and that self-exciting but short-lived volatility spikes captu
 re intradaily and daily returns better.  Multifactor models of the evolut
 ion of diffusive variance and jump intensities improve fits substantially\
 , including out-of-sample over 2009-16.  The models capture reasonably we
 ll the conditional distributions of daily returns and of realized variance
  outliers\, but underpredict realized variance inliers.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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