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| Volume 1,
No. 1, April
2002 |
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Intra-Day
Features of Realized Volatility:
Evidence
from an Emerging Market |
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| Burc
Kayahan and Thanasis Stengos |
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| Department
of Economics, University of Guelph, Canada |
| Burak Saltoğlu |
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| Department
of Economics, Marmara University, Turkey |
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| Abstract |
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| 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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Key words:
intra-day volatility; realized volatility; Istanbul Stock Exchange |
| JEL
classification:
C15;
C22; G15 |
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