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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Citations: View citations in EconPapers (10)

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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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