Modeling intraday volatility: A new consideration
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AbstractThis paper addresses the limitations of Andersen and Bollerslev's sequential estimation approach for modeling an intraday volatility process. A new approach that utilizes the interaction effect between the periodicity and the heteroskedasticity is proposed. Our method improves the subsequent ARCH structure in the sequential method by integrating the filtration (deseasonalization) process and the ARCH process in a united setting and optimizing the model parameters for the raw series instead of the filtered series.
All Author(s) ListChu CCF, Lam KP
Journal nameJournal of International Financial Markets, Institutions and Money
Volume Number21
Issue Number3
Pages388 - 418
LanguagesEnglish-United Kingdom
KeywordsARCH; Heteroskedasticity; Intraday periodic pattern; Intraday volatility forecast; Periodicity
Web of Science Subject CategoriesBusiness & Economics; Business, Finance; Economics

Last updated on 2020-06-08 at 01:01