Intra-Day Features of Realized Volatility: Evidence from an Emerging Market
Burc Kayahan (),
Thanasis Stengos () and
International Journal of Business and Economics, 2002, vol. 1, issue 1, 17-24
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)
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Persistent link: https://EconPapers.repec.org/RePEc:ijb:journl:v:1:y:2002:i:1:p:17-24
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