Volatility dynamics in high frequency financial data: an empirical investigation of the Australian equity returns

G. Mujtaba Mian and Christopher Adam

Applied Financial Economics, 2001, vol. 11, issue 3, 341-352

Abstract: The behaviour of volatility for intraday high frequency returns of the ASX equity index is examined. It is found that volatility of the Australian equities follows an L-shaped curve over the trading day that is distinct from the U-shaped pattern commonly documented by previous studies on other markets. While GARCH model remains useful in capturing volatility clustering for high frequency returns, the intraday deterministic volatility seasonals need to be carefully accounted for before carrying out an analysis of the volatility dynamics. Moreover, the frequently documented asymmetric effect of positive and negative shocks to volatility disappears for returns recorded at higher frequencies.

Date: 2001
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DOI: 10.1080/096031001300138744

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