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

Michael P. Hughes; Drew B. Winters; Jerry S. Rawls

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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

机译：时间序列回报波动的不同水平的来源是什么？日内U形形态或时间序列持久性

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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.

机译：我们使用纽约证券交易所工业指数，纽约证券交易所效用指数和纳斯达克工业指数来检验短期和长期波动率之间的关系。我们确定，纳斯达克指数的每日波动性远大于纽约证券交易所指数。初步检查显示，两个纽约证券交易所指数的U型盘中形态在位置和形状上都大致相似，而我们发现纳斯达克U型形态在位置和形状上都明显不同。但是，在GARCH模型中控制条件波动率之后，所有三个指数的U形盘中波动率模式都相似。

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来源
《Journal of Economics and Finance》 |2005年第3期|300-312|共13页
作者
Michael P. Hughes; Drew B. Winters; Jerry S. Rawls;
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School of Business Francis Marion University 29501 Florence SC;

Rawls College of Business Finance Department Texas Tech University 79409-2101 Lubbock TX;

Rawls College of Business Finance Department Texas Tech University 79409-2101 Lubbock TX;

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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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