The Intraday Analysis of Volatility, Volume and Spreads: A Review with Applications to Futures’ Markets

Dean Fantazzini

Chapter 4 in Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures, 2011, pp 92-131 from Palgrave Macmillan

Abstract: Abstract The growing interest in financial markets’ microstructure and the fact that financial professionals have access to huge intraday databases have made high-frequency data modeling a hot issue in recent empirical finance literature. We analyze the 12 main issues that are at stake when analyzing intraday financial time series, with particular emphasis on the joint dynamics of volatility, volume and spreads. We review the main econometric models used for volatility analysis in an intraday environment that works with non-equally spaced data and considers the whole information set provided by the market. Given the growing importance of tick-by-tick data analysis, we present an empirical application of ACD and ordered probit models to the Standard & Poor 500 and Nasdaq100 index futures’ data, and we point out the advantages and disadvantages of both approaches.

Keywords: Conditional Variance; GARCH Model; Market Maker; Order Probit Model; Generalize Residual (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-29810-1_4

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DOI: 10.1057/9780230298101_4

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