Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

Econometrics

Thibault Vatter¹  Hau-Tieng Wu²  Valérie Chavez-Demoulin¹  Bin Yu³ 

[1] Faculty of Business and Economics (HEC), University of Lausanne, 1015 Lausanne, Switzerland; E-Mail:;Department of Mathematics, University of Toronto, Toronto M5S2E4, ON, Canada; E-Mail:;Department of Statistics, University of California, Berkeley 94720, CA, USA; E-Mail:

关键词: intraday spot volatility;    seasonality;    foreign exchange returns;    time-frequency analysis;    synchrosqueezing;   

DOI  :  10.3390/econometrics3040864

来源: mdpi

【 摘 要 】

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically time-varying and evolve in real time. We provide the associated estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy-tailed noise. A study of exchange rate returns sampled from 2010 to 2013 suggests that failing to factor in the seasonality’s dynamic properties may lead to misestimation of the intraday spot volatility.

【 授权许可】

CC BY   
© 2015 by the authors; licensee MDPI, Basel, Switzerland.