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Temporal Aggregation, Volatiilty Components and Volume in HIgh Frequency UK Bond Futures

Listed author(s):
  • David G McMillan
  • Alan EH Speight
Registered author(s):

    This paper examines volatility in UK Long Gilt and Short Sterling futures over several intra-day frequencies. Initial GARCH model estimates are found to exhibit remaining residual structure and to be inconsistent with theoretical temporal aggregation results for all frequencies other than the full day. Further estimates suggest that intra-day volatitlity is more adequately characterised by a component model which decomposes volatility into short-run effects which dominate intra-day periods and long-run effects which dominate inter-day horizons, and that such components are associated with the arrival of information flows as proxied by volume. This component volatility model is also able to account for all dependence in Long Gilt futures at frequencies of fifteen minutes and lower, and in Short Sterling futures at one hour and lower.

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    Paper provided by Centre for Research into Industry, Enterprise, Finance and the Firm in its series CRIEFF Discussion Papers with number 9813.

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    Date of creation: Oct 1998
    Handle: RePEc:san:crieff:9813
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    School of Economics and Finance, University of St. Andrews, Fife KY16 9AL

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