大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,The University of Osaka

Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility

Jun Yu (University of Macau)

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4. Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility

大阪大学 データ科学セミナーシリーズ 第64回

Testing for Explosiveness in Financial Asset Prices using High-Frequency Volatility

Jun Yu (University of Macau)

Based on a continuous-time stochastic volatility model with a linear drift, we develop a test for explosive behavior in financial asset prices at a low frequency when prices are sampled at a higher frequency. The test exploits the volatility information in the high-frequency data. The method consists of devolatizing log-asset price increments with realized volatility measures and performing a supremum-type recursive Dickey-Fuller test on the devolatized sample. The proposed test has a nuisance-parameter-free asymptotic distribution and is easy to implement. We study the size and power properties of the test in Monte Carlo simulations. A real-time date-stamping strategy based on the devolatized sample is proposed for the origination and conclusion dates of the explosive regime. Conditions under which the real-time date-stamping strategy is consistent are established. The test and the date-stamping strategy are applied to study explosive behavior in cryptocurrency and stock markets.