Autor:	Yan, Xiufeng
Rok vydání:	2021
Předmět:	Economics - Econometrics
Druh dokumentu:	Working Paper
Popis:	This paper proposes a multiplicative component intraday volatility model. The intraday conditional volatility is expressed as the product of intraday periodic component, intraday stochastic volatility component and daily conditional volatility component. I extend the multiplicative component intraday volatility model of Engle (2012) and Andersen and Bollerslev (1998) by incorporating the durations between consecutive transactions. The model can be applied to both regularly and irregularly spaced returns. I also provide a nonparametric estimation technique of the intraday volatility periodicity. The empirical results suggest the model can successfully capture the interdependency of intraday returns.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2111.02376 Zobrazit plný text záznamu View this record from Arxiv