Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

Andrea Beltratti and Claudio Morana

Economic Notes, 2001, vol. 30, issue 2, 205-234

Abstract: type="main" xml:lang="en">

We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark–US dollar for 1993 and 1996. The model performs well in terms of coherence with the theoretical aggregation properties of GARCH models, it is effective in terms of both forecasting ability and describing reactions to macroeconomic news.

(J.E.L.: C14, C53, F31).

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10.1111/j.0391-5026.2001.00054.x (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:ecnote:v:30:y:2001:i:2:p:205-234

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0391-5026

Access Statistics for this article

More articles in Economic Notes from Banca Monte dei Paschi di Siena SpA
Bibliographic data for series maintained by Wiley Content Delivery ().