# Bates Model Jump Percentage Parameters

I am trying to calculate the jump parameters for the Bates volatility jumps, specifically, the mean of the jump percentages, $$\mu_j$$. For the value of $$J$$, I am using jumps $$|\frac{s_{i}-s_{i-1}}{s_{i-1}}| > jump_{thresh}$$ for a given $$jump_{thresh}$$ and stock prices $$s_i \in [s_0, ..., s_n]$$.

For the value of $$\mu_j$$, I am simply taking the mean of $$\frac{s_{i}-s_{i-1}}{s_{i-1}}$$. I am struggling to find solid documentation and research papers that provide in-depth information on this. Am I computing this correctly?

• I read Bates Motel; and was scared off from approaching this one. Sorry :-) maybe reframing the question as Bates Motel Survival Probability will melt-up the participation? Gap-to-default risks need a sex life too, lest they never reproduce. – demully Aug 22 '19 at 0:06