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...

Full description

Saved in:
Bibliographic Details
Published inApplied financial economics Vol. 11; no. 3; pp. 341 - 352
Main Authors Mujtaba Mian, G., Adam, Christopher M.
Format Journal Article
LanguageEnglish
Published London Taylor & Francis Group 01.06.2001
Taylor and Francis Journals
Routledge, Taylor & Francis Group
SeriesApplied Financial Economics
Subjects
Australia
Capital market
Data analysis
Dynamics
Equity
Rates of return
Securities trading
Stochastic models
Stock prices
Stock returns
Studies
Volatility
Australia
Online AccessGet full text

Cover

More Information
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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0960-3107
1466-4305
DOI:10.1080/096031001300138744