The impact of successive jumps in price process
on volatility is very important. We study the nature of self-motivation in
price process using data from China’s stock market. Our empirical results
suggest that: 1) Price jumps in China’s stock market are generally
self-motivated, i.e., price jumps are clustering. 2) The jump intensity of
China’s stock market is time-varying, and follows log-normal distribution,
which indicates that the jump intensity is asymmetrical. 3) The jump
intensities’ sequence exhibits typical long memory.
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