Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
Christian Leschinski and
Philipp Sibbertsen ()
Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
It is well known that intraday volatilities and trading volumes exhibit strong seasonal features. These seasonalities are usually modeled using dummy variables or deterministic functions. Here, we propose a test for seasonal long memory with a known frequency. Using this test, we show that deterministic seasonality is an accurate model for the DJIA index but not for the component stocks. These still exhibit significant and persistent periodicity after seasonal de-meaning so that more evolved seasonal long memory models are required to model their behavior.
Keywords: Intraday Volatility; Trading Volume; Seasonality; Long Memory (search for similar items in EconPapers)
JEL-codes: C12 C22 C58 G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-mst
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-599
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