2021/11/03 by Xiufeng Yan, Yan, Xiufeng
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Econometrics (econ.EM) #FOS: Economics and business #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #econ.EM
paper · pdf · doi:10.48550/arxiv.2111.02376
arxiv created 2021/11/03 · openalex publication_date 2021/11/03 · arxiv updated 2021/11/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.