Intraday Periodicity And Volatility Persistence In

diary of EMPIRICAL ELSEVIER Journal of Empirical Finance 4 (1997) 115-158 FINANCE Intraday periodicity and irritability persistence in fiscal trades Torben G. Andersen a, Tim Bollerslev b,c,. a part of Finance, J.L. Kellogg Graduate School of Management, Northwestern Universin,, Evanston, IL 60208, USA b Department of Economics, Rouss Hall, University of Virginia, Charlottesville, VA 22901, USA c NBER, Cambridge, MA 02138, USA Abstract The pervasive intraday periodicity in the charge out excitableness in foreign rallying and fairness markets is shown to have a strong impact on the dynamical properties of high frequency interprets. Only by taking theme of this strong intraday periodicity is it possible to uncover the interlacing intraday volatility dynamics that exists both within and across contrastive pecuniary markets. The explicit periodic modeling procedure genuine here(predicate) provides such a framework and thus sets the interpret for a formal integration of standard volatility models with market microstructure variables to pull up stakes for a more comprehensive empirical investigation of the natural determinants behind the volatility clustering phenomenon. © 1997 Elsevier experience B.V. JEL classification. C14; C22; GI4; G15 Keywords: excitability; Intraday periodicity; Temporal aggregation; ARCH 1.

I n t r o d u c t i o n It is widely documented that return volatility varies systematically over the trading day and that this physique is extremely correlated with the intraday variation of trading volume and b i d - a s k spreads. Indeed, the se strikingly symmetrical patterns of marke! t activity measures have provided the impetus for often speculative work. On * Corresponding author. 0927-5398/97/$17.00 Copyright © 1997 Elsevier Science B.V. All rights reserved. PII S0927-5 398(97)00004-2 116 T. G. Andersen, T. Boilerslet: / Journal of Empirical Finance 4 (1997) 115-158 the other hand, the dynamics of the intraday return volatility process is mostly ignored...If you loss to get a full essay, order it on our website: OrderCustomPaper.com

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