Cho, Jang Hyung; Daigler, Robert T. - In: Quantitative Finance 12 (2012) 2, pp. 231-247
We develop a new autoregressive conditional seasonal variance (ARCSV) process that captures both the changes in and the persistency of the intraday seasonal (U-shape) pattern of volatility. Unlike other procedures for seasonality, this approach allows for the intraday volatility pattern to...