Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components
Posted: 20 Dec 1999
The heterogeneous market states that the diversity of actors causes different behaviors of volatilities of different time resolutions. A lagged correlation study reveals that statistical volatility defined over a coarse time grid significantly predicts volatility defined over a fine grid. This empirical fact is not explained by conventional theories and models.
JEL Classification: G10
Suggested Citation: Suggested Citation