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Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market

Author

Listed:
  • Weihua Shi

    (College of Business, The University of Southern Mississippi, Gulf Coast, Long Beach, MS 39560, USA)

  • Cheng-Few Lee

    (Rutgers Business School, Rutgers University, Piscataway, NJ 08854, USA)

Abstract

The availability of a two-year high-frequency transaction data of the Japanese Government Bond (JGB) futures provides us with an opportunity to uncovering volatility persistence in high-frequency returns and testing the mixed-distribution-hypothesis (MDH) in this market. Both time-domain and frequency domain methods show that the degrees of volatility persistence are very similar across various frequencies, which supports the MDH. The result also shows that the method of filtering out the intraday pattern annihilates the complex interaction of the intraday periodicity and the volatility persistent process, and effectively uncovers volatility persistence phenomenon in the high-frequency data.

Suggested Citation

  • Weihua Shi & Cheng-Few Lee, 2008. "Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 511-530.
    • Handle: RePEc:wsi:rpbfmp:v:11:y:2008:i:04:n:s0219091508001453
    DOI: 10.1142/S0219091508001453
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    References listed on IDEAS

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    1. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444606.
    2. Sims,Christopher A. (ed.), 1994. "Advances in Econometrics," Cambridge Books, Cambridge University Press, number 9780521444590.
    3. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
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    Cited by:

    1. Ying Jiang & Shamim Ahmed & Xiaoquan Liu, 2017. "Volatility forecasting in the Chinese commodity futures market with intraday data," Review of Quantitative Finance and Accounting, Springer, vol. 48(4), pages 1123-1173, May.

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    More about this item

    Keywords

    Volatility persistence; high-frequency returns; Japanese government bond futures;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services
    • G3 - Financial Economics - - Corporate Finance and Governance

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