Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/339197 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Working Paper No. 14/2025
Verlag: 
Örebro University School of Business, Örebro
Zusammenfassung: 
We propose a high-frequency stochastic volatility model that integrates persistent component, intraday periodicity, and volume-driven time-of-day effects. By allowing intraday volatility patterns to respond to lagged trading activity, the model captures economically and statistically relevant departures from traditional intraday seasonality effects. We find that the volumedriven component accounts for a substantial share of intraday volatility for futures data across equity indexes, currencies, and commodities. Out-of-sample, our forecasts achieve near-zero intercepts, unit slopes, and the highest R2 values in Mincer-Zarnowitz regressions, while horserace regressions indicate that competing forecasts add little information once our predictions are included. These statistical improvements translate into economically meaningful gains, as volatility-managed portfolio strategies based on our model consistently improve Sharpe ratios. Our results highlight the value of incorporating lagged trading activity into high-frequency volatility models.
Schlagwörter: 
Intraday volatility
high-frequency
volume
periodicity
JEL: 
C11
C22
C53
C58
Dokumentart: 
Working Paper

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