Intraday periodicity and volatility persistence in financial markets

Published

Journal Article

The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic modeling procedure developed here provides such a framework and thus sets the stage for a formal integration of standard volatility models with market microstructure variables to allow for a more comprehensive empirical investigation of the fundamental determinants behind the volatility clustering phenomenon. © 1997 Elsevier Science B.V.

Full Text

Duke Authors

Cited Authors

  • Andersen, TG; Bollerslev, T

Published Date

  • January 1, 1997

Published In

Volume / Issue

  • 4 / 2-3

Start / End Page

  • 115 - 158

International Standard Serial Number (ISSN)

  • 0927-5398

Digital Object Identifier (DOI)

  • 10.1016/S0927-5398(97)00004-2

Citation Source

  • Scopus