English

Nonparametric inference for spot volatility in pure-jump semimartingales

Statistics Theory 2026-01-27 v1 Statistics Theory

Abstract

We provide a comprehensive analysis of spot volatility inference in pure-jump semimartingales under two asymptotic settings: fixed-kk, where each local window uses a fixed number of observations, and large-kk, where this number grows with sampling frequency. For both active- and possibly inactive-jump settings, we derive generally nonstandard, typically non-Gaussian limit distributions and establish valid inference, including when the jump-activity index is consistently estimated. Simulations show that fixed-kk asymptotics offer markedly better finite-sample accuracy, underscoring their practical advantage for nonparametric spot volatility inference.

Keywords

Cite

@article{arxiv.2601.18371,
  title  = {Nonparametric inference for spot volatility in pure-jump semimartingales},
  author = {Chengxin Yan and Dachuan Chen and Jia Li},
  journal= {arXiv preprint arXiv:2601.18371},
  year   = {2026}
}