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

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

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 languageEnglish
Pages (from-to)300-312
Number of pages13
JournalJournal of Economics and Finance
Volume29
Issue number3
DOIs
StatePublished - 2005

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