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Appears in Collections:Economics Journal Articles
Peer Review Status: Refereed
Title: Volatility dynamics and heterogeneous markets
Author(s): McMillan, David
Speight, Alan E H
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Keywords: Intra-day
heterogeneous markets
Issue Date: Apr-2006
Date Deposited: 27-Feb-2017
Citation: McMillan D & Speight AEH (2006) Volatility dynamics and heterogeneous markets. International Journal of Finance and Economics, 11 (2), pp. 115-121.
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.
DOI Link: 10.1002/ijfe.281
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