Long-Run Volatility Dependencies in Intraday Data and Mixture of Normal Distributions

Aurélie Boubel () and Sébastien Laurent
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Aurélie Boubel: University of Evry, EPEE

No 00-13, Documents de recherche from Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne

Abstract: In this paper, we study the behaviour of the long memory in the return volatility using highfrequency data on the Deutschemark-US dollar. In particular, we provide evidence of the overestimation of the long memory when we do not take into account the presence of jumps (outliers) in the series. After filtering the series from its seasonal pattern, and by using a mixture of normal distributions, the long memory parameter is found to be constant across different sampling frequencies, reduced (compared to the normal distribution) but still significant.

Pages: 26 pages
Date: 2000
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