Intra-Day Realized Volatility for European and USA Stock Indices

27 Pages Posted: 26 Oct 2018 Last revised: 30 Sep 2019

See all articles by Stavros Antonios Degiannakis

Stavros Antonios Degiannakis

Department of Economic and Regional Development, Panteion University of Political and Social Sciences

Christos Floros

Technological Educational Institute of Crete

Date Written: April 1, 2014

Abstract

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility, the dynamic behavior of correlation between realized volatilities is investigated. The correlation among realized volatilities is positive and extremely high, although for some periods it decreases dramatically. The correlation of volatilities within USA (or Europe) is much higher than the correlation of volatilities across USA and Europe. Moreover, we provide evidence that the inter-day adjusted realized volatility reduces significantly the underestimation of the true variability.

Keywords: correlation of volatilities, intra-day data, model-free de-noising, realized volatility, sampling frequency, ultra-high frequency, volatility signature plot

JEL Classification: C14; C32; C50; G11; G15

Suggested Citation

Degiannakis, Stavros Antonios and Floros, Christos, Intra-Day Realized Volatility for European and USA Stock Indices (April 1, 2014). Global Finance Journal, Vol. 29, 2016, Available at SSRN: https://ssrn.com/abstract=3259865 or http://dx.doi.org/10.2139/ssrn.3259865

Stavros Antonios Degiannakis (Contact Author)

Department of Economic and Regional Development, Panteion University of Political and Social Sciences ( email )

136 Sygrou
Athens
Greece

Christos Floros

Technological Educational Institute of Crete ( email )

Department of Accounting & Finance
School of Management & Economics
Heraklion, Crete GR 71004
Greece

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