Jump Volatility Estimates of High Frequency Data and Analysis Based on HHT

  •  Jiangrui Chen    
  •  Lianqian Yin    
  •  Sizhe Hou    
  •  Wei Zhang    
  •  Xiaojie Liu    
  •  Haoting Li    


As the global financial market risk increases, countries stress more onthe management and prevention of financial risks. These financial risks come from the volatility of the market, and thus we can build more comprehensive understanding of financial markets by analyzing the composition and the law of the financial volatility in different frequency. Based on Hilbert Huang Transform, the realized volatility analysis model is establishedto decompose the volatility into various signal in dissimilar frequency. First of all, the realized leap volatility is obtained through the previous research findings and Capital Asset Pricing Model. Then, considering thenonlinearity and instability of the volatility, we use the Hilbert Huang Transform to decompose the volatility and obtain IMFs in different frequencies and trend functions.

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