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Testing mean stationarity of intraday volatility curves

Author

Listed:
  • Torben G. Andersen
  • Yingwen Tan
  • Viktor Todorov
  • Zhiyuan Zhang

Abstract

We develop a test for mean stationarity of latent volatility curves using high‐frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for real‐time risk management and market activity measurement, including identification of spot volatility and the size of price jumps.

Suggested Citation

  • Torben G. Andersen & Yingwen Tan & Viktor Todorov & Zhiyuan Zhang, 2025. "Testing mean stationarity of intraday volatility curves," Quantitative Economics, Econometric Society, vol. 16(3), pages 1059-1091, July.
  • Handle: RePEc:wly:quante:v:16:y:2025:i:3:p:1059-1091
    DOI: 10.3982/QE2644
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    References listed on IDEAS

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    1. Andersen, Torben G. & Tan, Yingwen & Todorov, Viktor & Zhang, Zhiyuan, 2025. "On-line detection of changes in the shape of intraday volatility curves," Journal of Econometrics, Elsevier, vol. 252(PA).

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