Special Session 96: 

Estimation of Volatility of Share Prices of Stock Index using a Jump Diffusion Model

Shuya Kanagawa
Tokyo City University
Japan
Co-Author(s):    Shuya Kanagawa
Abstract:
We investigate the daily share prices of stock index to estimate its random volatility using a jump diffusion model. The volatility is estimated by the historical volatility from the observation of daily share prices. We focus on the relation between the historical volatility and the number of jumps of the share prices and estimate the optimal number of observed days for the historical volatility.