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 counselling out excitability in foreign rallying and comeliness markets is shown to have a strong impact on the energising properties of high frequency supplys. Only by taking explanation of this strong intraday periodicity is it possible to uncover the interlacing intraday volatility dynamics that exists both within and across contrastive fiscal markets. The explicit periodic modeling procedure genuine hither provides such a framework and thus sets the interpret for a formal i ntegration of standard volatility models with market microstructure variables to bequeath for a more comprehensive empirical investigation of the radical 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 build is extremely correlated with the intraday variation of trading volume and b i d - a s k spreads. Indeed, th ese strikingly symmetrical patterns of mark! et activity measures have provided the impetus for more than 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(a) hand, the dynamics of the intraday return volatility process is mostly ignored...If you ask to get a full essay, order it on our website: OrderCustomPaper.com

If you want to get a full essay, visit our page: write my paper