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...

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...

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...

This study reappraises the evidence for nonlinear dependence in the monthly black market exchange returns of the Polish zloty, 1955-1990. Predictive asymmetry is reported in conditional variance such that depreciatory shocks have a greater impact on subsequent volatility than appreciatory...