Jump test and Estimate the Size and Probability of Jump in the Stock Market Using Stochastic Volatility Models
New findings show that volatility models with jump component are more successful than without jumping models in modeling stylized facts about the stock market. This study focuses on the role of jump in the return of the total index of Tehran Stock Exchange from the beginning of the trading day 1396...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Semnan University
2022-05-01
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| Series: | مدلسازی اقتصادسنجی |
| Subjects: | |
| Online Access: | https://jem.semnan.ac.ir/article_6524_2dab9b2e405ef59d353ddd741ba72d3b.pdf |