Asymmetric Intra-Day Volatility Pattern and Price Jump Detection : Evidence from International Equity Indices

Current price jump tests assume a constant intra-day volatility pattern (IVP) over sample period. We test this assumption by allowing IVP to depend on the sign of returns from day t-1 or overnight returns. Estimation results from 5-minute GARCH for four equity indices show that squared-return-based IVP weights increase in early morning when previous returns are negative, suggesting an asymmetric IVP. For jump-robust IVP, strong asymmetric response is found for days with Realized Variance increasing over the previous day. Our results complement recent studies on time-varying IVP and give more prudent and less concentrated jump detection over trading hours