Time Transformations, Intraday Data and Volatility Models

Abstract

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two di erent frameworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH and EGARCH models, with intraday seasonality being accounted… (More)

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