Intra-Day Features of Realized Volatility: Evidence from an Emerging Market

In this paper we investigate the intra-day properties of a recently proposed realized volatility concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997 to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized volatility provides a better fit than the normal GARCH model.

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Year of publication:	2002
Authors:	Kayahan, Burc ; Stengos, Thanasis ; Saltoglu, Burak
Published in:	International Journal of Business and Economics. - College of Business, ISSN 1607-0704. - Vol. 1.2002, 1, p. 17-24
Publisher:	College of Business
Subject:	intra-day volatility \| realized volatility \| Istanbul Stock Exchange

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Extent:	application/pdf text/html
Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; G15 - International Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010600617