The Influence of Intraday Seasonality on Volatility Transmission Pattern

Posted: 3 Oct 2017

See all articles by Nuria Alemany

Nuria Alemany

Jaume I University - Department of Finance and Accounting

Vicent Aragó

Jaume I University - Department of Finance and Accounting

Enrique Salvador

Universitat Jaume I - Department of Finance and Accounting

Date Written: September 25, 2017

Abstract

Using data on a five-minute interval basis, this article analyses the effects of the well-documented intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response analysis and in the dynamic and directional measurement of volatility spillovers are encountered depending on whether the intraday periodic component is considered. Thus, the convenience of removing intraday seasonality seems to be critical to reduce the risk of spurious causality when employing high-frequency data in volatility transmission.

Keywords: high-frequency data, intraday periodic component, flexible fourier form, realized volatility, volatility spillover

JEL Classification: G12, G14, G15, G13

Suggested Citation

Alemany, Nuria and Aragó, Vicent and Salvador, Enrique, The Influence of Intraday Seasonality on Volatility Transmission Pattern (September 25, 2017). Available at SSRN: https://ssrn.com/abstract=3043130

Nuria Alemany (Contact Author)

Jaume I University - Department of Finance and Accounting ( email )

Avda Sos Baynat S/N
Castello de la Plana, Castello 12071
Spain
+34‐964‐387151 (Phone)
+34964‐728565 (Fax)

HOME PAGE: http://www.uji.es/departaments/cofin/

Vicent Aragó

Jaume I University - Department of Finance and Accounting ( email )

Avda Sos Baynat s/N
Castellón, 12071
Spain

Enrique Salvador

Universitat Jaume I - Department of Finance and Accounting ( email )

Castellon
E-12071 Castello de la Plana, Castellón de la Plana 12071
Spain

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