Variance - Ratio Statistics And High - Frequency Data : Testing for Changes in Intraday Volatility Patterns  

Oleh:

Andersen, Torben G. ; Das, Ashish

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 1 (2001), page 305-327.
Topik: VOLATILITY; regression analysis; volatility; foreign exchange markets; studies; mathematical models
Fulltext: p 305.pdf (397.18KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Variance - ratio tests are routinely employed to assess the variation in return volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high - frequency context. Improved inference procedures are developed, using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday volatility pattern following the removal of trading restrictions in Tokyo. Contrary to earlier evidence, no discernible changes are found outside of the Tokyo lunch period. The difference is ascribed to the fragile finite - sample inference of conventional variance - ratio procedures and a single outlier.

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