Long Memory and Periodicity in Intraday Volatility of Stock Index Futures

43 Pages Posted: 25 Aug 2009

See all articles by Eduardo Rossi

Eduardo Rossi

Department of Economics and Management

Dean Fantazzini

Moscow School of Economics, Moscow State University; National Research University Higher School of Economics

Date Written: July 8, 2009

Abstract

This paper investigates the intraday volatility pattern of the E-mini SP500 hourly returns. In order to account for the observed long memory and periodicity in returns volatility we introduce the Fractionally Integrated Periodic EGARCH and the Seasonal Fractional Integrated Periodic EGARCH. For both models we compute the population kurtosis and the autocorrelation function of power transformations of absolute returns. The results confirm that volatility of hourly returns sampled over the 24 hours across different markets are characterized by strong seasonal pattern with a statistically significant persistence.

Keywords: long-range dependence, periodic models, stock index futures

JEL Classification: C22, G13

Suggested Citation

Rossi, Eduardo and Fantazzini, Dean, Long Memory and Periodicity in Intraday Volatility of Stock Index Futures (July 8, 2009). Available at SSRN: https://ssrn.com/abstract=1460625 or http://dx.doi.org/10.2139/ssrn.1460625

Eduardo Rossi (Contact Author)

Department of Economics and Management ( email )

Via San Felice 5
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Dean Fantazzini

Moscow School of Economics, Moscow State University ( email )

GSP-2, Leninskie Gory
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Russia
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+7 495 5105267 (Fax)

HOME PAGE: https://sites.google.com/site/deanfantazzini/

National Research University Higher School of Economics ( email )

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Moscow, Moscow 119017
Russia

HOME PAGE: http://www.hse.ru/org/persons/11532644

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