|Appears in Collections:||Economics Journal Articles|
|Peer Review Status:||Refereed|
|Title:||Volatility dynamics and heterogeneous markets|
Speight, Alan E H
|Citation:||McMillan D & Speight AEH (2006) Volatility dynamics and heterogeneous markets. International Journal of Finance and Economics, 11 (2), pp. 115-121. https://doi.org/10.1002/ijfe.281|
|Abstract:||Recent research has suggested that intra-day volatility may possess a component structure, resulting either from the arrival of heterogeneous information or the actions of heterogeneous market agents. This paper reports direct evidence for the existence of such components in S&P500 index and DM/$ exchange rate data. Estimation of a FIGARCH model supports the contention that volatility dynamics result from multiple sources. Using a HARCH conditional variance model which defines volatility components over differing time horizons, confirmatory evidence of heterogeneous components is reported, in which context the impact of high-frequency speculation and noise-trading are particularly apparent.|
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