Testing for seasonal patterns in conditional return volatility: evidence from Asia-Pacific markets

Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.