Intra-Day Features of Realized Volatility: Evidence from an Emerging Market
In 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.
Volume (Year): 1 (2002)
Issue (Month): 1 (April)
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