Volatility activity: Specification and estimation

Viktor Todorov, George Tauchen*, Iaryna Grynkiv

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations


The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high-frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods for estimating and evaluating, using price data alone, a general encompassing model for volatility dynamics where volatility activity is unrestricted. The nonparametric application to VIX data, along with model estimation for S&P index returns, suggests that volatility moves are best captured by an infinite variation pure-jump martingale with a symmetric jump compensator around zero. The latter provides a parsimonious generalization of the jump-diffusions commonly used for volatility modeling.

Original languageEnglish (US)
Pages (from-to)180-193
Number of pages14
JournalJournal of Econometrics
Issue numberPART 1
StatePublished - Jan 2014


  • Asymmetric volatility activity
  • High-frequency data
  • Laplace transform
  • Signed power variation
  • Specification testing
  • Stochastic volatility
  • Volatility jumps

ASJC Scopus subject areas

  • Economics and Econometrics

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