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Intra-Day Features of Realized Volatility: Evidence from an Emerging Market

Burc Kayahan (), Thanasis Stengos () and Burak Saltoğlu

International Journal of Business and Economics, 2002, vol. 1, issue 1, 17-24

Abstract: In this paper we investigate the intra-day properties of a recently proposed realized volatility concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997 to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized volatility provides a better fit than the normal GARCH model.

Keywords: intra-day volatility; realized volatility; Istanbul Stock Exchange (search for similar items in EconPapers)
JEL-codes: C15 C22 G15 (search for similar items in EconPapers)
Date: 2002
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International Journal of Business and Economics is currently edited by Hsiang-Tsai Chiang (Editor-in-Chief), Chiung-Ju Huang (Editor-in-Chief), Feng-Jyh Lin (Associate Editor), Tzu-Ching Weng (Associate Editor), Hsin-Yi Huang (Managing Editor) and Szu-Hsien Ho (Managing Editor)

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