Authors: Dette, Holger
Golosnoy, Vasyl
Kellermann, Janosch
Title: The effect of intraday periodicity on realized volatility measures
Language (ISO): en
Abstract: U-shaped intraday periodicity (IP) is a typical stylized fact characterizing intraday returns on risky assets. In this study we focus on the realized volatility and bipower variation estimators for daily integrated volatility (IV ) which are based on intraday returns following a discrete-time model with IP. We demonstrate that neglecting the impact of IP on realized estimators may lead to non-valid statistical inference concerning IV for the commonly available number of intraday returns, moreover, the size of daily jump tests may be distorted. Given the functional form of IP, we derive corrections for the realized measures of IV . We show in a Monte Carlo and an empirical study that the proposed corrections improve commonly point and interval estimators of the IV and tests for jumps.
Subject Headings: bipower variation
realized volatility
jump detection
daily integrated volatility
Issue Date: 2016
Appears in Collections:Sonderforschungsbereich (SFB) 823

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