Intra-day realized volatility for European and USA stock indices

Stavros Degiannakis; Christos Floros

doi:10.1016/j.gfj.2015.05.002

Intra-day realized volatility for European and USA stock indices

Stavros Degiannakis, Christos Floros

Research output: Contribution to journal › Article › peer-review

Abstract

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot, which minimizes the microstructure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods, it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.

Original language	English
Pages (from-to)	24-41
Number of pages	18
Journal	Global Finance Journal
Volume	29
DOIs	https://doi.org/10.1016/j.gfj.2015.05.002
Publication status	Published - 1 Feb 2016

Keywords

Correlation of volatilities
Intra-day data
Realized volatility
Sampling frequency
Ultra-high frequency
Volatility signature plot

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10.1016/j.gfj.2015.05.002

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title = "Intra-day realized volatility for European and USA stock indices",

abstract = "The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot, which minimizes the microstructure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods, it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.",

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AU - Floros, Christos

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AB - The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot, which minimizes the microstructure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods, it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.

KW - Correlation of volatilities

KW - Intra-day data

KW - Realized volatility

KW - Sampling frequency

KW - Ultra-high frequency

KW - Volatility signature plot

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JO - Global Finance Journal

JF - Global Finance Journal

ER -

Intra-day realized volatility for European and USA stock indices

Abstract

Keywords

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