Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market

Kenedy Alva
Authors registered in the RePEc Author Service: Esther Ruiz ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models. The estimation of the corresponding parameters is carried out using the functional equivalent to OLS. We apply these ideas to the empirical analysis of the IBEX35 returns observed each _ve minutes. We also analyze the performance of the proposed functional AR(1) model to predict the volatility along a given day given the information in previous days for the intra-daily volatility for the firms in the IBEX35 Madrid stocks index

Keywords: Market; microstructure; Ultra-high; frequency; data; Functional; data; analysis; Functional; AR(1); model (search for similar items in EconPapers)
Date: 2009-03
New Economics Papers: this item is included in nep-ecm, nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws092809

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