Intraday periodicity and volatility persistence in financial markets (1997) - Andersen T.G., Bollerslev T.

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• Annotation
• 1. Introduction
• 2. Intraday return periodicity
• 2.1. The Deutschemark- U.S. dollar foreign exchange data
• 2.2. The standard and poor's 500 stock index futures data
• 3. Characterization and modeling of the correlation structure in intraday returns
• 3.1. Intraday return correlations
• 3.2. Interpretation in terms of a suggestive intraday return model
• 3.3. Long-run implications and comparison to daily returns
• 4. Implications for volatility modeling and high frequency return aggregation
• 4.1. Characterization of the intraday returns at the various frequencies
• 4.2. Specification of the uolatili~ model and the associated persistence measures
• 4.3. Interpretation of the GARCH results .for different return frequencies
• 5. The dynamics of filtered and standardized intraday returns
• 5.1. Filtered foreign exchange returns
• 5.2. Standardized foreign exchange returns
• 5.3. Filtered equity returns
• 5.4. Standardized equity returns
• 6. Concluding remarks

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