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Review of Innovation and Competitiveness : A Journal of Economic and Social Research, Vol. 4 No. 1, 2018.

Izvorni znanstveni članak
https://doi.org/10.32728/ric.2018.41/3

VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA

Krzysztof Drachal ; Faculty of Economic Sciences, University of Warsaw, Poland,

Puni tekst: engleski, pdf (203 KB) str. 47-72 preuzimanja: 67* citiraj
APA 6th Edition
Drachal, K. (2018). VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA. Review of Innovation and Competitiveness, 4 (1), 47-72. https://doi.org/10.32728/ric.2018.41/3
MLA 8th Edition
Drachal, Krzysztof. "VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA." Review of Innovation and Competitiveness, vol. 4, br. 1, 2018, str. 47-72. https://doi.org/10.32728/ric.2018.41/3. Citirano 20.03.2019.
Chicago 17th Edition
Drachal, Krzysztof. "VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA." Review of Innovation and Competitiveness 4, br. 1 (2018): 47-72. https://doi.org/10.32728/ric.2018.41/3
Harvard
Drachal, K. (2018). 'VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA', Review of Innovation and Competitiveness, 4(1), str. 47-72. doi: https://doi.org/10.32728/ric.2018.41/3
Vancouver
Drachal K. VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA. Review of Innovation and Competitiveness [Internet]. 2018 [pristupljeno 20.03.2019.];4(1):47-72. doi: https://doi.org/10.32728/ric.2018.41/3
IEEE
K. Drachal, "VOLATILITY PATTERNS OF THE LARGEST POLISH COMPANIES: SOME EVIDENCE FROM HIGH-FREQUENCY DATA", Review of Innovation and Competitiveness, vol.4, br. 1, str. 47-72, 2018. [Online]. doi: https://doi.org/10.32728/ric.2018.41/3

Sažetak
Purpose. The article is focused on the empirical properties of the high-frequency data of 20 selected stocks from the Warsaw Stock Exchange (in particular the ones listed on WIG 20).The intraday data from at least more than 1 year were analysed. In particular, correlation between returns and durations were checked.
Methodology. Also, the heterogeneous autoregressive model for realized volatility (HAR) was analysed and an attempt to construct the UHF-GARCH model was taken. The HAR model is a linear model and the UHF-GARCH is based on a certain adjustment of physical durations. Then, the standard ARMA-GARCH approach can be considered. Moreover, the hypothesis of Diamond and Verrecchia predicting a negative correlation between price changes and the time passed between transactions was checked. The analysis was done in R statistical software.
Findings. The presented research can serve as an introduction to some further (and more thorough and narrow) researches. Except a direct presentation of outcomes from the study of the selected stocks from the Warsaw Stock Exchange, the paper contains quite an
extensive literature review on high-frequency data.

Ključne riječi
Diamond-Verrecchia hypothesis; HAR, high-frequency data; UHF-GARCH; Warsaw Stock Exchange

Hrčak ID: 198714

URI
https://hrcak.srce.hr/198714

Posjeta: 106 *