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Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework

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  • Doojin RYU

    (College of Economics, Sungkyunkwan University, Jongno-gu, Seoul, Republic of Korea.)

  • Hyein SHIM

    (Corresponding author. Fiscal Information Research Center, Korea Public Finance Information Service, Seoul, Republic of Korea.)

Abstract

This study investigates the intraday dynamic relationship among asset returns, trading volumes, and volatilities in index derivatives markets using an asymmetric trivariate BEKK-GARCH framework. We analyze the returns and trading activities of KOSPI200 futures and calculate the option-implied volatilities using the Black–Scholes model and a model-free approach (i.e., the VKOSPI). We find that more trading activity in the futures market leads to greater next-period returns and that the trading volume has a bi-directionally positive relationship with the volatility. We also find that greater market volatility increases asset returns but that greater returns decrease volatility, which is consistent with the asymmetric returns–volatility relationship and is explained by the risk-return trade-off and the leverage effect.

Suggested Citation

  • Doojin RYU & Hyein SHIM, 2017. "Intraday Dynamics of Asset Returns, Trading Activities, and Implied Volatilities: A Trivariate GARCH Framework," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 45-61, June.
    • Handle: RePEc:rjr:romjef:v::y:2017:i:2:p:45-61
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    Cited by:

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    3. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2020. "Economic indicators and stock market volatility in an emerging economy," Economic Systems, Elsevier, vol. 44(2).
    4. Chun, Dohyun & Cho, Hoon & Ryu, Doojin, 2019. "Forecasting the KOSPI200 spot volatility using various volatility measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 156-166.
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    6. Lee, Jieun & Ryu, Doojin, 2019. "How does FX liquidity affect the relationship between foreign ownership and stock liquidity?," Emerging Markets Review, Elsevier, vol. 39(C), pages 101-119.
    7. Daehyeon Park & Jiyeon Park & Doojin Ryu, 2020. "Volatility Spillovers between Equity and Green Bond Markets," Sustainability, MDPI, vol. 12(9), pages 1-12, May.

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    More about this item

    Keywords

    asymmetric BEKK-GARCH; implied volatilities; intraday dynamics; KOSPI200 futures and options; VKOSPI;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G19 - Financial Economics - - General Financial Markets - - - Other

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