Non-parametric estimation of intraday spot volatility: Disentangling Instantaneous Trend and Seasonality

Artikel

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality's dynamic properties may lead to misestimation of the intraday spot volatility.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 4 ; Pages: 864-887 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Semiparametric and Nonparametric Methods: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Model Construction and Estimation ; Model Evaluation, Validation, and Selection ; Financial Econometrics ; Financial Forecasting and Simulation
• Subject: intraday spot volatility ; seasonality ; foreign exchange returns ; time-frequency analysis ; synchrosqueezing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Vatter, Thibault ; Wu, Hau-Tieng ; Chavez-Demoulin, Valérie ; Yu, Bin
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2015

Further information

• DOI: doi:10.3390/econometrics3040864
• Handle: http://hdl.handle.net/10419/171849
• Last update: 10.03.2025, 11:44 AM CET