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 track out capriciousness in foreign rallying and comeliness markets is shown to have a strong impact on the high-energy properties of high frequency come downs. Only by taking cover of this strong intraday periodicity is it possible to uncover the interlacing intraday volatility dynamics that exists both within and across contrastive financial markets. The explicit periodic modeling procedure genuine hither provides such a framework and thus sets the interpret for a formal integ ration of standard volatility models with market microstructure variables to provide for a more comprehensive empirical investigation of the central determinants behind the volatility clustering phenomenon. © 1997 Elsevier intelligence 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 blueprint is extremely correlated with the intraday variation of trading volume and b i d - a s k spreads. Indeed, these striki ngly symmetrical patterns of market activit! y measures have provided the impetus for much(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 other 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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