Asymmetries of the intraday return-volatility relation

Ihsan Badshah (), Bart Frijns, Johan Knif and Alireza Tourani-Rad

International Review of Financial Analysis, 2016, vol. 48, issue C, 182-192

Abstract: This study investigates the asymmetry of the intraday return-volatility relation at different return horizons ranging from 1, 5, 10, 15, up to 60min and compares the empirical results with results for the daily return horizon. Using data on the S&P 500 (SPX) and the VIX from September 25, 2003 to December 30, 2011 and a Quantile-Regression approach, we observe strong negative return-volatility relation over all return horizons. However, this negative relation is asymmetric in three different aspects. First, the effects of positive and negative returns on volatility are different and more pronounced for negative returns. Second, for both positive and negative returns, the effect is conditional on the distribution of volatility changes. The absolute effect is up to five times larger in the extreme tails of the distribution. Third, at the intraday level, there is evidence of both autocorrelation in volatility changes and cross-autocorrelation with returns. This lead-lag relation with returns is also very asymmetric and more pronounced in the tails of the distribution. These effects are, however, not observed at the daily return horizon.

Keywords: Asymmetric return-volatility relation; Implied volatility; Index options; Intraday; Quantile regression; VIX (search for similar items in EconPapers)
JEL-codes: C21 G12 G13 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S105752191630151X
Full text for ScienceDirect subscribers only

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:eee:finana:v:48:y:2016:i:c:p:182-192

DOI: 10.1016/j.irfa.2016.09.016

Access Statistics for this article

International Review of Financial Analysis is currently edited by B.M. Lucey

More articles in International Review of Financial Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().