Comparing Garman-Klass and DU Volatility and Symmetry Measures in Intraday Futures Returns and Volumes: A Vector Autoregression Analysis

In this paper we investigate intraday futures market returns and volumes. Four contracts are selected from foreign exchange and equity market sectors. Using intraday data, two time-series are constructed using two measures of daily volatility and symmetry for each contract’s return and volume. An examination of the interaction between daily return and volume variables is conducted using vector autoregressive (VAR) models. These models compare conventional parametric measures of volatility and symmetry with a second VAR incorporating the Garman-Klass and DU (“down-up”) measures of volatility and symmetry. Although the results are mixed between market and contract types, they suggest that the conventional parametric measures outperform the alternative formulations.