The Volatility of Return, Trading Volume and Amount in Different Scales
In this paper, we use different scales to examine the volatility of return, volume and trading amount by intra-daily high frequency data. Besides the conventional measures of the volatility that make use of the unobserved variance or standard deviation of its return, another two different types of return-absolute return, high-low return are introduced. Two models are considered. One is an ARM A model which is applied to stantionary series. The other is a MEdM model called multiplicative error model jointed with expanded GARCH model. For Shanghai composite index, we find the relationship between these returns, and observe that both absolute return and high-low return are affected by asymmetric variables but with different extent. The estimation results of trading volume and amount show that their volatilities have significant cluster and persistence.
Volatility persistence volatility cluster Long memory MEM ezpanded GARCH
Shinan Cao Honggang Li Handong Li
Department of System Science, School of Management Beijing Normal University Beijing, China
国际会议
北京
英文
297-301
2009-07-24（万方平台首次上网日期，不代表论文的发表时间）