Towards a unified framework for high and low frequency return volatility modeling
Torben Andersen () and
Tim Bollerslev ()
Statistica Neerlandica, 1998, vol. 52, issue 3, 273-302
This paper provides a selective summary of recent work that has documented the usefulness of high‐frequency, intraday return series in exploring issues related to the more commonly studied daily or lower‐frequency returns. We show that careful modeling of intraday data helps resolve puzzles and shed light on controversies in the extant volatility literature that are difficult to address with daily data. Among other things, we provide evidence on the interaction between market microstructure features in the data and the prevalence of strong volatility persistence, the source of significant day‐of‐the‐week effect in daily returns, the apparent poor forecast performance of daily volatility models, and the origin of long‐memory characteristics in daily return volatility series.
References: Add references at CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:52:y:1998:i:3:p:273-302
Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0039-0402
Access Statistics for this article
Statistica Neerlandica is currently edited by P. H. Franses
More articles in Statistica Neerlandica from Netherlands Society for Statistics and Operations Research
Bibliographic data for series maintained by Wiley Content Delivery ().