Estimation of the Hurst Parameter in Spot Volatility
This paper contributes in three stages in a logic of the cognitive process: we firstly propose a new estimation of Hurst exponent by changing frequency method which is purely mathematical. Then we want to check if the new Hurst is efficient, so we prove the advantages of this new Hurst in asymptotic...
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| Format: | Article |
| Language: | English |
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MDPI AG
2022-05-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/10/10/1619 |
| _version_ | 1797498186079666176 |
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| author | Yicun Li Yuanyang Teng |
| author_facet | Yicun Li Yuanyang Teng |
| author_sort | Yicun Li |
| collection | DOAJ |
| description | This paper contributes in three stages in a logic of the cognitive process: we firstly propose a new estimation of Hurst exponent by changing frequency method which is purely mathematical. Then we want to check if the new Hurst is efficient, so we prove the advantages of this new Hurst in asymptotic variance in the perspective compared with other two Hurst estimator. However, a purely mathematical game is not enough, a good estimation should be proven by reality, so we apply the new Hurst estimator into truncated and non-truncated spot volatility which fills the gap of previous literatures using 5-min price data (Source: Wind Financial Terminal) of 10 Chinese A-share industry indices from 1 January 2005 until 31 December 2020. |
| first_indexed | 2024-03-10T03:29:50Z |
| format | Article |
| id | doaj.art-5e0f533b08a64ced9fd4e48f956556c5 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-10T03:29:50Z |
| publishDate | 2022-05-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-5e0f533b08a64ced9fd4e48f956556c52023-11-23T11:59:56ZengMDPI AGMathematics2227-73902022-05-011010161910.3390/math10101619Estimation of the Hurst Parameter in Spot VolatilityYicun Li0Yuanyang Teng1Business School, Zhejiang University City College, Hangzhou Yiyuan Technology Co., Ltd., Hangzhou 310015, ChinaSchool of Management, Zhejiang University, Hangzhou Yiyuan Technology Co., Ltd., Hangzhou 310027, ChinaThis paper contributes in three stages in a logic of the cognitive process: we firstly propose a new estimation of Hurst exponent by changing frequency method which is purely mathematical. Then we want to check if the new Hurst is efficient, so we prove the advantages of this new Hurst in asymptotic variance in the perspective compared with other two Hurst estimator. However, a purely mathematical game is not enough, a good estimation should be proven by reality, so we apply the new Hurst estimator into truncated and non-truncated spot volatility which fills the gap of previous literatures using 5-min price data (Source: Wind Financial Terminal) of 10 Chinese A-share industry indices from 1 January 2005 until 31 December 2020.https://www.mdpi.com/2227-7390/10/10/1619spot volatilitychange of frequencyroughness of volatilityhurst exponentChinese A-share market |
| spellingShingle | Yicun Li Yuanyang Teng Estimation of the Hurst Parameter in Spot Volatility Mathematics spot volatility change of frequency roughness of volatility hurst exponent Chinese A-share market |
| title | Estimation of the Hurst Parameter in Spot Volatility |
| title_full | Estimation of the Hurst Parameter in Spot Volatility |
| title_fullStr | Estimation of the Hurst Parameter in Spot Volatility |
| title_full_unstemmed | Estimation of the Hurst Parameter in Spot Volatility |
| title_short | Estimation of the Hurst Parameter in Spot Volatility |
| title_sort | estimation of the hurst parameter in spot volatility |
| topic | spot volatility change of frequency roughness of volatility hurst exponent Chinese A-share market |
| url | https://www.mdpi.com/2227-7390/10/10/1619 |
| work_keys_str_mv | AT yicunli estimationofthehurstparameterinspotvolatility AT yuanyangteng estimationofthehurstparameterinspotvolatility |