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Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation

  • CORONEO, Laura
  • VEREDAS, David

We investigate intradaily seasonal patterns on the distribution of high frequency financial returns. Using quantile regression we show the expansions and shrinks of the probability law through the day for three years of 15 minutes sampled stock returns. Returns are more dispersed and less concentrated around the median at the hours near the opening and closing. We provide intradaily value at risk assessments and we show how it adapts to changes of dispersion over the day.

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File URL: http://alfresco.uclouvain.be/alfresco/download/attach/workspace/SpacesStore/216a2535-979e-4aea-8566-71f035f1f9a5/coredp_2006_77.pdf
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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2006077.

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Date of creation: 00 Sep 2006
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Handle: RePEc:cor:louvco:2006077
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  1. Koenker, Roger & Xiao, Zhijie, 2006. "Quantile Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 980-990, September.
  2. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
  3. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
  4. Hansen, Bruce E, 1994. "Autoregressive Conditional Density Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(3), pages 705-30, August.
  5. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
  6. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 309-324.
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