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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) 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:ijb:journl:v:1:y:2002:i:1:p:17-24
Access Statistics for this article
International Journal of Business and Economics is currently edited by Kun-Huang Huarng (Editor-in-Chief), Domingo Ribeiro Soriano (Associate Editor), Feng-Jyh Lin (Associate Editor) and Fang-Yi Lo (Managing Editor)
More articles in International Journal of Business and Economics from School of Management Development, Feng Chia University, Taichung, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Chia-Hung Wang ().