Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns
The behaviour of volatility for intraday high frequency returns of the ASX equity index is examined. It is found that volatility of the Australian equities follows an L-shaped curve over the trading day that is distinct from the U-shaped pattern commonly documented by previous studies on other marke...
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Published in | Applied financial economics Vol. 11; no. 3; pp. 341 - 352 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
London
Taylor & Francis Group
01.06.2001
Taylor and Francis Journals Routledge, Taylor & Francis Group |
Series | Applied Financial Economics |
Subjects | |
Online Access | Get full text |
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Summary: | The behaviour of volatility for intraday high frequency returns of the ASX equity index is examined. It is found that volatility of the Australian equities follows an L-shaped curve over the trading day that is distinct from the U-shaped pattern commonly documented by previous studies on other markets. While GARCH model remains useful in capturing volatility clustering for high frequency returns, the intraday deterministic volatility seasonals need to be carefully accounted for before carrying out an analysis of the volatility dynamics. Moreover, the frequently documented asymmetric effect of positive and negative shocks to volatility disappears for returns recorded at higher frequencies. |
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Bibliography: | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0960-3107 1466-4305 |
DOI: | 10.1080/096031001300138744 |