Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution

Carl R. Chen, Yuli Su and Ying Huang

Journal of Empirical Finance, 2008, vol. 15, issue 4, pages 789-798

Abstract: We study the autocorrelation and conditional volatility of the hourly Dow Jones Industrial Index return data from October 1974 to September 2002 using an exponential asymmetric AR-GARCH specification with a generalized error distribution. Our findings document a positive autocorrelation in hourly return data in the early years of the sampling period, but the autocorrelation turns negative after 1986 and the negative shock causes more impact on the conditional volatility. This latter period evidence stands in contrast to prior findings employing lower frequency and/or earlier year data. In addition, our results present some evidence of a negative relation between autocorrelation and conditional volatility before 1986 (albeit weaker than prior findings), but this negative relationship disappears after 1986.

Date: 2008

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Persistent link: http://EconPapers.repec.org/RePEc:eee:empfin:v:15:y:2008:i:4:p:789-798

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Journal of Empirical Finance is edited by R. T. Baillie, G. Bekaert, W. Ferson, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

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