The Long Memory of the Jump Intensity of the Price Process
2021
The impact of successive jumps in price process
on volatility is very important. We study the nature of self-motivation in
price process using data from China’s stock market. Our empirical results
suggest that: 1) Price jumps in China’s stock market are generally
self-motivated, i.e., price jumps are clustering. 2) The jump intensity of
China’s stock market is time-varying, and follows log-normal distribution,
which indicates that the jump intensity is asymmetrical. 3) The jump
intensities’ sequence exhibits typical long memory.
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