Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components

Posted: 20 Dec 1999

See all articles by Ulrich A. Müller

Ulrich A. Müller

Olsen & Associates

Michel M. Dacorogna

DEAR-Consulting

Rakhal Dave

Olsen Financial Technologies

Richard B. Olsen

Lykke Corp

Olivier V. Pictet

Pictet Asset Management

Jakob von Weizsäcker

World Bank; CESifo (Center for Economic Studies and Ifo Institute)

Abstract

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

Müller, Ulrich A. and Dacorogna, Michel M. and Dave, Rakhal D. and Olsen, Richard B. and Pictet, Olivier V. and von Weizsäcker, Jakob E., Volatilities of Different Time Resolutions: Analyzing the Dynamics of Market Components. Available at SSRN: https://ssrn.com/abstract=6400

Ulrich A. Müller (Contact Author)

Olsen & Associates ( email )

Seefeldstrasse 233
CH-8008 Zurich
Switzerland
+41 (1) 386 48 16 (Phone)
+41 (1) 422 22 82 (Fax)

Michel M. Dacorogna

DEAR-Consulting ( email )

Scheuchzerstrasse 160
Zurich, 8057
Switzerland
+41795447327 (Phone)

Rakhal D. Dave

Olsen Financial Technologies ( email )

Ottenbergstrasse 81
Zurich, 8049
Switzerland
+41 44 342 3566 (Phone)
+41 44 342 3561 (Fax)

HOME PAGE: http://www.olsendata.com

Richard B. Olsen

Lykke Corp ( email )

Baarerstrasse 2
Zug, Zug 6300
Switzerland
41793368950 (Phone)

HOME PAGE: http://www.lykke.com

Olivier V. Pictet

Pictet Asset Management ( email )

Geneva
Switzerland

Jakob E. Von Weizsäcker

World Bank ( email )

1818 H Street N.W.
Washington, DC 20433
United States

CESifo (Center for Economic Studies and Ifo Institute)

Poschinger Str. 5
Munich, DE-81679
Germany

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