EconPapers    
Economics at your fingertips  
 

Variance‐ratio Statistics and High‐frequency Data: Testing for Changes in Intraday Volatility Patterns

Torben Andersen (), Tim Bollerslev () and Ashish Das

Journal of Finance, 2001, vol. 56, issue 1, 305-327

Abstract: 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 nodiscernible 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.

Date: 2001
References: Add references at CitEc
Citations: View citations in EconPapers (33) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1111/0022-1082.00326

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:jfinan:v:56:y:2001:i:1:p:305-327

Ordering information: This journal article can be ordered from
http://www.afajof.org/membership/join.asp

Access Statistics for this article

More articles in Journal of Finance from American Finance Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2022-08-23
Handle: RePEc:bla:jfinan:v:56:y:2001:i:1:p:305-327