Identification of Jump Times of Large Jumps for the Nikkei 225 Stock Index from Daily Share Prices via a Stochastic Volatility Model

Abstract

We investigate daily share prices of the Nikkei 225 stock index to estimate jump times of the stock index. Since such daily share prices are observed at discrete times, it is difficult to find real jump times. In this paper we consider how to separate jump times from the observed times.