We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new, theoretically valid setting compatible with real financial data. We first estimate parameters using three US market indices and six frequencies to let data reveal the correct,...