The Long Memory of the Jump Intensity of the Price Process

Abstract

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