摘要
The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns, the periodic modelling procedure developed in this paper provides a framework and gives some extended volatility models with market microstructure features for us to comprehend the high frequency volatility clustering phenomena.We find some interesting results such as W\|shaped trading process partern in a trading day,and information effects are also empirically relevant,we offer some explanations.
The intraday periodicity in the returns volatility in China stock markets is shown to have a strong impact on the dynaminc properties of high frequency returns, the periodic modelling procedure developed in this paper provides a framework and gives some extended volatility models with market microstructure features for us to comprehend the high frequency volatility clustering phenomena.We find some interesting results such as W\|shaped trading process partern in a trading day,and information effects are also empirically relevant,we offer some explanations.
出处
《统计研究》
CSSCI
北大核心
2001年第4期36-42,共7页
Statistical Research
