Fig. 1: The jumps in the simulated series.
From: Impact of COVID-19 on jump occurrence in capital markets
Validation of model’s jump detection through simulated sample. The results of the full sample and magnified details are displayed on the left and right sides, respectively. The green dots and blue squares indicate the positions where jumps are inserted in the simulated returns and the simulated external variable, respectively. The values of dynamic jump intensities inferred after model fitting are depicted in the lower two subgraphs. It is noteworthy that in the simulation, all jump positions align with peaks, particularly noticeable for jumps resulting from external shocks.
