Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns
Publication
, Journal Article
Andersen, TG; Bollerslev, T; Das, A
Published in: Journal of Finance
January 1, 2001
Variance-ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday volatility pattern following the removal of trading restrictions in Tokyo. Contrary to earlier evidence, we find no discernible changes outside of the Tokyo lunch period. We ascribe the difference to the fragile finite-sample inference of conventional variance-ratio procedures and a single outlier.
Duke Scholars
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2001
Volume
56
Issue
1
Start / End Page
305 / 327
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment
Citation
APA
Chicago
ICMJE
MLA
NLM
Andersen, T. G., Bollerslev, T., & Das, A. (2001). Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns. Journal of Finance, 56(1), 305–327. https://doi.org/10.1111/0022-1082.00326
Andersen, T. G., T. Bollerslev, and A. Das. “Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns.” Journal of Finance 56, no. 1 (January 1, 2001): 305–27. https://doi.org/10.1111/0022-1082.00326.
Andersen TG, Bollerslev T, Das A. Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns. Journal of Finance. 2001 Jan 1;56(1):305–27.
Andersen, T. G., et al. “Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns.” Journal of Finance, vol. 56, no. 1, Jan. 2001, pp. 305–27. Scopus, doi:10.1111/0022-1082.00326.
Andersen TG, Bollerslev T, Das A. Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns. Journal of Finance. 2001 Jan 1;56(1):305–327.
Published In
Journal of Finance
DOI
ISSN
0022-1082
Publication Date
January 1, 2001
Volume
56
Issue
1
Start / End Page
305 / 327
Related Subject Headings
- Finance
- 3801 Applied economics
- 3502 Banking, finance and investment
- 1502 Banking, Finance and Investment