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 monetary 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 counseling out capriciousness in foreign rallying and honor markets is shown to have a strong impact on the can-do properties of high frequency dispels. 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 present provides such a framework and thus sets the interpret for a formal integrat ion of standard volatility models with market microstructure variables to brook for a more comprehensive empirical investigation of the thoroughgoing determinants behind the volatility clustering phenomenon. © 1997 Elsevier cognition 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 manakin is extremely correlated with the intraday variation of trading volume and b i d - a s k spreads. Indeed, these strikingly symmetrical patterns of market activity me! asures have provided the impetus for some(prenominal) 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 different hand, the dynamics of the intraday return volatility process is mostly ignored...If you fatality to get a full essay, order it on our website: OrderCustomPaper.com

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