A1420
Title: High-frequency goodness-of-fit testing of Hawkes-driven stochastic volatility models
Authors: Simone Scotti - Universite Paris 7 (France)
Giacomo Toscano - University of Florence (Italy) [presenting]
Iacopo Raffaelli - Scuola Normale Superiore (Italy)
Abstract: A novel stochastic volatility model is proposed with price and volatility co-jumps driven by Hawkes processes. We develop a feasible maximum-likelihood-based procedure to estimate the parameters driving the jump intensity. Using S\&P500 high-frequency prices over the period May 2007 - August 2021, we then perform a goodness-of-fit test of alternative jump intensity specifications and find that the hypothesis of the intensity being linear in the asset volatility provides the relatively best fit, thereby suggesting that jumps have a self-exciting nature.
