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,
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
Datum izdavanja:
5.4.2018.
Posjeta: 1.307 *