• OpenAccess
  • Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market  [MASS 2015]
  • DOI: 10.4236/jss.2015.37011   PP.61 - 66
  • Author(s)
  • Wei Dai, Dejun Xie, Bianxia Sun
  • This paper characterizes the volatility in Hong Kong Stock Market based on a 2-year sample of 5-min Heng Seng Index. By using the method of Flexible Fourier Form Filtering, we have successful removed the periodicity and have built a model of ARMA (1,1)-FIAPARCH (2, 0.300165,1). Further, the intraday volatility exists with long memory and asymmetry; the negative shock from the market will give rise to a higher volatility than the positive ones.

  • Volatility, High Frequency Data, Periodicity, Long Memory
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