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Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

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  • Andrea Beltratti
  • Claudio Morana

Abstract

type="main" xml:lang="en"> We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark–US dollar for 1993 and 1996. The model performs well in terms of coherence with the theoretical aggregation properties of GARCH models, it is effective in terms of both forecasting ability and describing reactions to macroeconomic news. (J.E.L.: C14, C53, F31).

Suggested Citation

  • Andrea Beltratti & Claudio Morana, 2001. "Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 30(2), pages 205-234, July.
    • Handle: RePEc:bla:ecnote:v:30:y:2001:i:2:p:205-234
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    File URL: http://hdl.handle.net/10.1111/j.0391-5026.2001.00054.x
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    Citations

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    Cited by:

    1. Ben Omrane, Walid & de Bodt, Eric, 2007. "Using self-organizing maps to adjust for intra-day seasonality," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1817-1838, June.
    2. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.
    3. Nuno Cassola & Claudio Morana, 2006. "Volatility of interest rates in the euro area: Evidence from high frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 513-528.
    4. Bordignon, Silvano & Caporin, Massimiliano & Lisi, Francesco, 2007. "Generalised long-memory GARCH models for intra-daily volatility," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5900-5912, August.
    5. Arteche, Josu & García-Enríquez, Javier, 2017. "Singular Spectrum Analysis for signal extraction in Stochastic Volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 85-98.
    6. Thibault Vatter & Hau-Tieng Wu & Valérie Chavez-Demoulin & Bin Yu, 2015. "Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality," Econometrics, MDPI, vol. 3(4), pages 1-24, December.
    7. Boudt, Kris & Croux, Christophe & Laurent, Sébastien, 2011. "Robust estimation of intraweek periodicity in volatility and jump detection," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 353-367, March.

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