Abstract
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.
Original language | English |
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Pages (from-to) | 300-312 |
Number of pages | 13 |
Journal | Journal of Economics and Finance |
Volume | 29 |
Issue number | 3 |
DOIs | |
State | Published - 2005 |