Intra-Day Features of Realized Volatility: Evidence from an Emerging Market
AbstractIn this paper we investigate the intra-day properties of a recently proposed realized volatility concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997 to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized volatility provides a better fit than the normal GARCH model.
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Bibliographic InfoArticle provided by College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan in its journal International Journal of Business and Economics.
Volume (Year): 1 (2002)
Issue (Month): 1 (April)
intra-day volatility; realized volatility; Istanbul Stock Exchange;
Find related papers by JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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