What is the source of different levels of time-series return volatility? the intraday U-shaped pattern or time-series persistence

Michael Hughes (), Drew Winters () and Jerry Rawls

Journal of Economics and Finance, 2005, vol. 29, issue 3, 300-312

Abstract: We use the NYSE industrial index, the NYSE utility index, and the NASDAQ industrial index to examine the relationship between short-run and long-run volatility. We establish that the NASDAQ index has substantially more daily volatility than the NYSE indices. The initial examination shows that the individual U-shaped intraday patterns of the two NYSE indices are roughly similar in both position and shape, while we find that NASDAQ U-shaped pattern is distinctively different in both position and shape. However, after controlling for conditional volatility in a GARCH model, the U-shaped intraday volatility patterns of all three indices are similar. Copyright Springer 2005

Date: 2005
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DOI: 10.1007/BF02761576

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