This paper examines whether variants of the GARCH class of model with the capacity to accommodate volatility asymmetries and volatility feedback are able to provide an adequate representation of non-linear dependency in intraday FTSE-100 stock index futures returns at the quarter-hour and hourly...

This paper examines the intraday behaviour of five-minute FTSE-100, Short Sterling and Long Gilt LIFFE futures returns volatility and volume. The intraday patterns identified exhibit a U-shape, significantly affected by UK and US macroeconomic news releases. Evidence from estimation of a GMM...

Intra-day periodicity has been widely observed in financial data. Recent research examining intra-day foreign exchange rate volatility dynamics reports that failure to account for this periodicity results in inconsistent GARCH parameter estimates in relationship to theoretical predictions on...

This paper re-considers cointegrating behaviour between forward and spot exchange rates and the implications for the forward rate unbiasedness hypothesis. Extant empirical evidence examining forward and future spot rates is mixed, offering results both for and against cointegration; the forward...

Recent research has suggested that intra-day volatility may possess a component structure due to heterogeneous information arrivals. This paper reports evidence for the existence of such components in FTSE-100 stock index futures returns data. Preliminary GARCH model estimates support previous...

This article seeks to examine the forecasting performance of competing models for intra-day volatility for the IBEX-35 index futures market. Whilst the use of intra-day is becoming common in examining daily forecasts through realized volatility, relatively little research examines the...

Recent evidence has suggested that a model capable of capturing multiple volatility dynamics best describes daily exchange rate volatility. Estimation of a model that can capture long-run and short-run volatility movement also allows issues relating to financial and economic integration between...

This article seeks to examine the forecasting performance of nine competing models for daily volatility for stock market returns of 33 economies. Whilst volatility is an important variable in many financial applications including those relating to areas of risk management there exits little...

The paper analyses the forecasting performance of a variety of statistical and econometric models of UK FTA All Share and FTSE100 stock index volatility at the monthly, weekly and daily frequencies under both symmetric and asymmetric loss functions. Under symmetric loss, results suggest that the...

It is widely acknowledged in the financial literature that trading in asset markets is mainly induced by the arrival of new information. However, the contemporaneous and dynamic empirical relationships between volume and returns in futures data, with attendant implications for futures market...