Common Intraday Periodicity

A. Hecq, S. Laurent, F. C. Palm
2011 Journal of Financial Econometrics  
Using a reduced rank regression framework as well as information criteria we investigate the presence of commonalities in the intraday periodicity, a dominant feature in the return volatility of most intraday financial time series. We find that the test has little size distortion and reasonable power even in the presence of jumps. We also find that only three factors are needed to describe the intraday periodicity of thirty US asset returns sampled at the 5-minute frequency. Interestingly, we
more » ... Interestingly, we find that for most series the models imposing these commonalities deliver better forecasts of the conditional intraday variance than those where the intraday periodicity is estimated for each asset separately. JEL: C10, C32.
doi:10.1093/jjfinec/nbr012 fatcat:7pq7a26wkjajnpnjau6kkw6s5u