英文标题：
《Double-jump stochastic volatility model for VIX: evidence from VVIX》
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作者：
Xin Zang, Jun Ni, Jing-Zhi Huang and Lan Wu
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最新提交年份：
2015
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英文摘要：
The paper studies the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility. Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX, we derive a linear relation between the stochastic volatility factor and VVIX index. We detect the existence of co-jump of VIX and VVIX and put forward a double-jump stochastic volatility model for VIX through its joint property with VVIX. With VVIX index as a proxy for the stochastic volatility, we use MCMC method to estimate the dynamics of VIX. Comparing nested models on VIX, we show the jump in VIX and the volatility factor is statistically significant. The jump intensity is also statedependent. We analyze the impact of jump factor on the VIX dynamics.
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中文摘要：
本文研究了波动率为随机波动的波动率指数的连续时间动力学，以及波动率和波动率的跳跃。基于随机波动率和波动率对数跳变的一般参数仿射模型，我们推导了随机波动率因子与VVIX指数之间的线性关系。我们发现了VIX和VVIX的共同跳变的存在性，并通过其与VVIX的联合性质，提出了VIX的双跳随机波动模型。以VVIX指数作为随机波动率的代表，我们使用MCMC方法来估计VIX的动态。通过比较波动率指数上的嵌套模型，我们发现波动率指数和波动率因子在统计学上是显著的。跳跃强度也取决于状态。我们分析了跳跃因子对波动率动力学的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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