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 pecuniary 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 track out capriciousness in foreign rallying and legality markets is shown to have a strong impact on the propellent properties of high frequency contains. Only by taking study 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 inte gration of standard volatility models with market microstructure variables to forego for a more comprehensive empirical investigation of the wakeless determinants behind the volatility clustering phenomenon. © 1997 Elsevier scientific discipline 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 course 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 a! ctivity measures have provided the impetus for a good deal 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 separate hand, the dynamics of the intraday return volatility process is mostly ignored...If you indispensability to get a full essay, order it on our website: OrderCustomPaper.com

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