Empirical evidence of jump behavior in the Colombian bond market
La incorporación de procesos con saltos en la modelación de precios se ha demostrado que mejora el pronóstico de volatilidad, la valoración de activos y las coberturas de un portafolio. El estudio encuentra que en el mercado local de bonos soberanos de Colombia se observan saltos en la formación de...
- Autores:
-
Romero Díaz, Nicolás
Castro Iragorri, Carlos Alberto
Vélez Hernández, Sebastián
- Tipo de recurso:
- Article of journal
- Fecha de publicación:
- 2023
- Institución:
- Universidad Externado de Colombia
- Repositorio:
- Biblioteca Digital Universidad Externado de Colombia
- Idioma:
- spa
- OAI Identifier:
- oai:bdigital.uexternado.edu.co:001/15366
- Acceso en línea:
- https://bdigital.uexternado.edu.co/handle/001/15366
https://doi.org/10.18601/17941113.n24.07
- Palabra clave:
- jumps;
realized variance;
high frequency;
preferred habitat theory;
monetary policy announcements
saltos;
volatilidad realizada;
alta frecuencia;
teoría de Habitat preferido;
anuncios de política monetaria
- Rights
- openAccess
- License
- Nicolás Romero Díaz, Carlos Alberto Castro Iragorri, Sebastián Vélez Hernández - 2023
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Empirical evidence of jump behavior in the Colombian bond market |
| dc.title.translated.eng.fl_str_mv |
Empirical evidence of jump behavior in the Colombian bond market |
| title |
Empirical evidence of jump behavior in the Colombian bond market |
| spellingShingle |
Empirical evidence of jump behavior in the Colombian bond market jumps; realized variance; high frequency; preferred habitat theory; monetary policy announcements saltos; volatilidad realizada; alta frecuencia; teoría de Habitat preferido; anuncios de política monetaria |
| title_short |
Empirical evidence of jump behavior in the Colombian bond market |
| title_full |
Empirical evidence of jump behavior in the Colombian bond market |
| title_fullStr |
Empirical evidence of jump behavior in the Colombian bond market |
| title_full_unstemmed |
Empirical evidence of jump behavior in the Colombian bond market |
| title_sort |
Empirical evidence of jump behavior in the Colombian bond market |
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Romero Díaz, Nicolás Castro Iragorri, Carlos Alberto Vélez Hernández, Sebastián |
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Romero Díaz, Nicolás Castro Iragorri, Carlos Alberto Vélez Hernández, Sebastián |
| dc.subject.eng.fl_str_mv |
jumps; realized variance; high frequency; preferred habitat theory; monetary policy announcements |
| topic |
jumps; realized variance; high frequency; preferred habitat theory; monetary policy announcements saltos; volatilidad realizada; alta frecuencia; teoría de Habitat preferido; anuncios de política monetaria |
| dc.subject.spa.fl_str_mv |
saltos; volatilidad realizada; alta frecuencia; teoría de Habitat preferido; anuncios de política monetaria |
| description |
La incorporación de procesos con saltos en la modelación de precios se ha demostrado que mejora el pronóstico de volatilidad, la valoración de activos y las coberturas de un portafolio. El estudio encuentra que en el mercado local de bonos soberanos de Colombia se observan saltos en la formación de precios a lo largo de toda la curva, con diferentes intensidades. Contrario a lo esperado, no se identifica una frecuencia de saltos menor en los bonos de largo plazo en comparación con los bonos de corto plazo. Además, se encuentra que los bonos con periodos de maduración similares tienen una mayor frecuencia de saltos en comparación con aquellos que tienen periodos al vencimiento más distantes. Esto indica una relación entre la proximidad en los periodos de maduración y la ocurrencia de saltos en los precios de los bonos soberanos. En cuanto a las estacionalidades, se encuentran patrones semanales persistentes en la frecuencia de los saltos. Asimismo, se observan aumentos significativos en la frecuencia de los saltos asociados a sorpresas en la información económica que afecta la política monetaria de Estados Unidos. Sin embargo, no se encuentran efectos similares asociados a anuncios específicos de política monetaria interna. |
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2023-11-30 |
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Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61 (1), 43-76. https://doi.org/10.1016/S0304-405X(01)0055-1 Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2003a). Some like it smooth, and some like it rough: Untangling continuous and jump com-ponents in measuring, modeling, and forecasting asset return volatility. Working paper No. 2003/35, Goethe University, Center for Financial Studies (CFS), Frankfurt. http://dx.doi.org/10.2139/ssrn.473204 Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P. (2003b). Modeling and forecasting realized volatility. Econometrica, 71 (2), 579-625. https://doi.org/10.1111/1468-0262.00418 Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics, 89 (4), 701-720. https://doi.org/10.1162/rest.89.4.701 Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2003a). Some like it Bae, K.-H., Karolyi, G. A., and Stulz, R. M. (2003). A new approach to measuring financial contagion. The Review of Financial Studies, 16 (3), 717-763. https://www.jstor.org/stable/1262714 Bandi, F. M. and Russell, J. R. (2006). Separating microstructure noise from volatility. Journal of Financial Economics, 79 (3), 655-692. https://doi.org/10.1016/j.jfineco.2005.01.005 Barndorff-Nielsen, O. E. and Shephard, N. (2004a). Measuring the impact of jumps in multivariate price processes using bipower covariation. Technical report, Discussion paper, Nuffield College, Oxford University. Barndorff-Nielsen, O. E. and Shephard, N. (2004b). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2 (1), 1-37. https://doi.org/10.1093/jjfinec/nbh001 Barndorff-Nielsen, O. E. and Shephard, N. (2005a). How accurate is the asymptotic approximation to the distribution of realized variance. In Identification and Inference for Econometric Models. (Eds.) D. W. Andrews & J. H. Stock, (pp. 306-311). Cambridge University Press. Barndorff-Nielsen, O. E. and Shephard, N. (2005b). Variation, jumps, market frictions and high frequency data in financial econometrics. Working Paper No. 2005-W16. http://dx.doi.org/10.2139/ssrn.751984 Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification. Journal of Econometrics, 144(1), 234-256. https://doi.org/10.1016/j.jeconom.2008.01.006 Das, S. R. (2002). The surprise element: jumps in interest rates. Journal of Econometrics, 106(1), 27-65. https://doi.org/10.1016/S0304-4076(01)00085 Dungey, M., McKenzie, M., and Smith, L. V. (2009). Empirical evidence on jumps in the term structure of the us treasury market. Journal of Empirical Finance, 16 (3), 430-445. https://doi.org/10.1016/j.jempfin.2008.12.002 Goyenko, R., Subrahmanyam, A., and Ukhov, A. ( 2011). The term structure of Johannes, M. (2004). The statistical and economic role of jumps in continuous-time interest rate models. The Journal of Finance, 59 (1), 227-260. https://www.jstor.org/stable/3694895 Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499. https://doi.org/10.1093/jjfinec/nbi025 Lee, S. S. and Mykland, P. A. (2012). Jumps in equilibrium prices and market icrostructure noise. Journal of Econometrics, 168(2), 396-406. https://doi.org/10.1016/j.jeconom.2012.03.001. Modigliani, F. and Sutch, R. (1966). Innovations in interest rate policy. The American Economic Review, 56(1/2), 178-197. https://www.jstor.org/stable/1821281. Novotný, J. and Urga, G. (2017). Testing for cojumps in financial markets. Journal of Financial Econometrics, 16(1), 118-128. https://doi.org/10.1093/jjfinecnxb Piazzesi, M. (2005). Bond yields and the federal reserve. Journal of Political Economy, 113(2), 311-344. https://doi.org/10.1086/427466 Sheppard, K. (2006). Realized covariance and scrambling. Unpublished document. Zhang, L., Mykland P. A., & Aït-Sahalia, Y. (2005). A tale of two-time scales: Integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 100(472), 1394-1411.https://doi.org/10.1198/016214505000000169 |
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Romero Díaz, NicolásCastro Iragorri, Carlos AlbertoVélez Hernández, Sebastián2023-11-30T09:55:17Z2024-06-07T07:31:17Z2023-11-30T09:55:17Z2024-06-07T07:31:17Z2023-11-30La incorporación de procesos con saltos en la modelación de precios se ha demostrado que mejora el pronóstico de volatilidad, la valoración de activos y las coberturas de un portafolio. El estudio encuentra que en el mercado local de bonos soberanos de Colombia se observan saltos en la formación de precios a lo largo de toda la curva, con diferentes intensidades. Contrario a lo esperado, no se identifica una frecuencia de saltos menor en los bonos de largo plazo en comparación con los bonos de corto plazo. Además, se encuentra que los bonos con periodos de maduración similares tienen una mayor frecuencia de saltos en comparación con aquellos que tienen periodos al vencimiento más distantes. Esto indica una relación entre la proximidad en los periodos de maduración y la ocurrencia de saltos en los precios de los bonos soberanos. En cuanto a las estacionalidades, se encuentran patrones semanales persistentes en la frecuencia de los saltos. Asimismo, se observan aumentos significativos en la frecuencia de los saltos asociados a sorpresas en la información económica que afecta la política monetaria de Estados Unidos. Sin embargo, no se encuentran efectos similares asociados a anuncios específicos de política monetaria interna.Simulations and empirical studies suggest that incorporating a discontinuous jump process in asset pricing models improve volatility forecasting, pricing of instruments, and hedging positions in a portfolio. In this paper we analyze high frequency market data of Colombian sovereign bonds to study the presence or absence of discontinuities in the price generating process. We find that Colombian sovereign debt experiments jumps across all maturities but with different frequencies, in particular, we do not find that long term bonds jump less frequently than short term bonds. Furthermore, bonds with closer maturities cojump in greater magnitude than those with a greater distance between them. Finally, we find significant day-of-the week effects, as well as an important increase in the jump frequency due to surprises in economic information related to US monetary policy, and no effect due to direct monetary policy announcements in Colombia.application/pdf10.18601/17941113.n24.072346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/15366https://doi.org/10.18601/17941113.n24.07spaUniversidad Externado de Colombiahttps://revistas.uexternado.edu.co/index.php/odeon/article/download/9076/15146Núm. 24 , Año 2023 : Enero-Junio14724119ODEONAndersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2001). The distribution of realized stock return volatility. Journal of Financial Economics, 61 (1), 43-76. https://doi.org/10.1016/S0304-405X(01)0055-1Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2003a). Some like it smooth, and some like it rough: Untangling continuous and jump com-ponents in measuring, modeling, and forecasting asset return volatility. Working paper No. 2003/35, Goethe University, Center for Financial Studies (CFS), Frankfurt. http://dx.doi.org/10.2139/ssrn.473204Andersen, T. G., Bollerslev, T., Diebold, F. X., and Labys, P. (2003b). Modeling and forecasting realized volatility. Econometrica, 71 (2), 579-625. https://doi.org/10.1111/1468-0262.00418Andersen, T. G., Bollerslev, T., and Diebold, F. X. (2007). Roughing it up: Including jump components in the measurement, modeling, and forecasting of return volatility. The Review of Economics and Statistics, 89 (4), 701-720. https://doi.org/10.1162/rest.89.4.701Andersen, T. G., Bollerslev, T., Diebold, F. X., and Ebens, H. (2003a). Some like it Bae, K.-H., Karolyi, G. A., and Stulz, R. M. (2003). A new approach to measuring financial contagion. The Review of Financial Studies, 16 (3), 717-763. https://www.jstor.org/stable/1262714Bandi, F. M. and Russell, J. R. (2006). Separating microstructure noise from volatility. Journal of Financial Economics, 79 (3), 655-692. https://doi.org/10.1016/j.jfineco.2005.01.005Barndorff-Nielsen, O. E. and Shephard, N. (2004a). Measuring the impact of jumps in multivariate price processes using bipower covariation. Technical report, Discussion paper, Nuffield College, Oxford University.Barndorff-Nielsen, O. E. and Shephard, N. (2004b). Power and bipower variation with stochastic volatility and jumps. Journal of Financial Econometrics, 2 (1), 1-37. https://doi.org/10.1093/jjfinec/nbh001Barndorff-Nielsen, O. E. and Shephard, N. (2005a). How accurate is the asymptotic approximation to the distribution of realized variance. In Identification and Inference for Econometric Models. (Eds.) D. W. Andrews & J. H. Stock, (pp. 306-311). Cambridge University Press.Barndorff-Nielsen, O. E. and Shephard, N. (2005b). Variation, jumps, market frictions and high frequency data in financial econometrics. Working Paper No. 2005-W16. http://dx.doi.org/10.2139/ssrn.751984Bollerslev, T., Law, T. H., & Tauchen, G. (2008). Risk, jumps, and diversification. Journal of Econometrics, 144(1), 234-256. https://doi.org/10.1016/j.jeconom.2008.01.006Das, S. R. (2002). The surprise element: jumps in interest rates. Journal of Econometrics, 106(1), 27-65. https://doi.org/10.1016/S0304-4076(01)00085Dungey, M., McKenzie, M., and Smith, L. V. (2009). Empirical evidence on jumps in the term structure of the us treasury market. Journal of Empirical Finance, 16 (3), 430-445. https://doi.org/10.1016/j.jempfin.2008.12.002Goyenko, R., Subrahmanyam, A., and Ukhov, A. ( 2011). The term structure of Johannes, M. (2004). The statistical and economic role of jumps in continuous-time interest rate models. The Journal of Finance, 59 (1), 227-260. https://www.jstor.org/stable/3694895Huang, X., & Tauchen, G. (2005). The relative contribution of jumps to total price variance. Journal of Financial Econometrics, 3(4), 456-499. https://doi.org/10.1093/jjfinec/nbi025Lee, S. S. and Mykland, P. A. (2012). Jumps in equilibrium prices and market icrostructure noise. Journal of Econometrics, 168(2), 396-406. https://doi.org/10.1016/j.jeconom.2012.03.001.Modigliani, F. and Sutch, R. (1966). Innovations in interest rate policy. The American Economic Review, 56(1/2), 178-197. https://www.jstor.org/stable/1821281.Novotný, J. and Urga, G. (2017). Testing for cojumps in financial markets. Journal of Financial Econometrics, 16(1), 118-128. https://doi.org/10.1093/jjfinecnxbPiazzesi, M. (2005). Bond yields and the federal reserve. Journal of Political Economy, 113(2), 311-344. https://doi.org/10.1086/427466Sheppard, K. (2006). Realized covariance and scrambling. Unpublished document.Zhang, L., Mykland P. A., & Aït-Sahalia, Y. (2005). A tale of two-time scales: Integrated volatility with noisy high-frequency data. Journal of the American Statistical Association, 100(472), 1394-1411.https://doi.org/10.1198/016214505000000169Nicolás Romero Díaz, Carlos Alberto Castro Iragorri, Sebastián Vélez Hernández - 2023info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.http://creativecommons.org/licenses/by-nc-sa/4.0https://revistas.uexternado.edu.co/index.php/odeon/article/view/9076jumps;realized variance;high frequency;preferred habitat theory;monetary policy announcementssaltos;volatilidad realizada;alta frecuencia;teoría de Habitat preferido;anuncios de política monetariaEmpirical evidence of jump behavior in the Colombian bond marketEmpirical evidence of jump behavior in the Colombian bond marketArtículo de revistahttp://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTREFinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2614https://bdigital.uexternado.edu.co/bitstreams/e2976ce8-902c-4f3c-8142-2f6b5a540744/download5744b4ee75ccd1deb99e046449c32fa1MD51001/15366oai:bdigital.uexternado.edu.co:001/153662024-06-07 02:31:17.337http://creativecommons.org/licenses/by-nc-sa/4.0Nicolás Romero Díaz, Carlos Alberto Castro Iragorri, Sebastián Vélez Hernández - 2023https://bdigital.uexternado.edu.coUniversidad Externado de Colombiametabiblioteca@metabiblioteca.org |