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What is the source of different levels of time-series return volatility? the intraday U-shaped pattern or time-series persistence

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  • Michael Hughes
  • Drew Winters
  • Jerry Rawls

Abstract

We use the NYSE industrial index, the NYSE utility index, and the NASDAQ industrial index to examine the relationship between short-run and long-run volatility. We establish that the NASDAQ index has substantially more daily volatility than the NYSE indices. The initial examination shows that the individual U-shaped intraday patterns of the two NYSE indices are roughly similar in both position and shape, while we find that NASDAQ U-shaped pattern is distinctively different in both position and shape. However, after controlling for conditional volatility in a GARCH model, the U-shaped intraday volatility patterns of all three indices are similar. Copyright Springer 2005

Suggested Citation

  • Michael Hughes & Drew Winters & Jerry Rawls, 2005. "What is the source of different levels of time-series return volatility? the intraday U-shaped pattern or time-series persistence," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 29(3), pages 300-312, September.
    • Handle: RePEc:spr:jecfin:v:29:y:2005:i:3:p:300-312
    DOI: 10.1007/BF02761576
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    References listed on IDEAS

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    5. Cyree, Ken B & Winters, Drew B, 2001. "An Intraday Examination of the Federal Funds Market: Implications for the Theories of the Reverse-J Pattern," The Journal of Business, University of Chicago Press, vol. 74(4), pages 535-556, October.
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    Cited by:

    1. Jang Hyung Cho & Robert T. Daigler, 2012. "An unbiased autoregressive conditional intraday seasonal variance filtering process," Quantitative Finance, Taylor & Francis Journals, vol. 12(2), pages 231-247, October.

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