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Change-points and functional features of intraday volatility in China stock market

Author

Listed:
  • Sabri Boubaker

    (Métis Lab
    International School, Vietnam National University
    Swansea University)

  • Zhenya Liu

    (School of Finance, Renmin University of China
    China Financial Policy Research Center, Renmin University of China
    CERGAM, Aix-Marseille University)

  • Ling Zhai

    (School of Finance, Renmin University of China)

Abstract

Realized volatility models are enhanced in this paper through the use of change-point detection and functional regression. We explore the time-varying intraday features of realized volatility in the morning and afternoon sessions in China’s stock market. The empirical results reveal significant structural discontinuities in the realized volatility generated from high-frequency data in China’s stock market: the coefficients of AR term and realized quarticity (RQ) term vary with time in the day and experience different patterns. From two perspectives—information digestion and investor behavior—we examine how coefficients of the AR term and RQ term change over trading time with different levels of volatility.

Suggested Citation

  • Sabri Boubaker & Zhenya Liu & Ling Zhai, 2025. "Change-points and functional features of intraday volatility in China stock market," Annals of Operations Research, Springer, vol. 352(3), pages 563-582, September.
    • Handle: RePEc:spr:annopr:v:352:y:2025:i:3:d:10.1007_s10479-022-05014-6
    DOI: 10.1007/s10479-022-05014-6
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    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
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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