Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality
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-var...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-12-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/3/4/864 |
| _version_ | 1811185114486407168 |
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| author | Thibault Vatter Hau-Tieng Wu Valérie Chavez-Demoulin Bin Yu |
| author_facet | Thibault Vatter Hau-Tieng Wu Valérie Chavez-Demoulin Bin Yu |
| author_sort | Thibault Vatter |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-11T13:23:54Z |
| format | Article |
| id | doaj.art-c80ddee0998f4ead9023b41dd6ff2323 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T13:23:54Z |
| publishDate | 2015-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-c80ddee0998f4ead9023b41dd6ff23232022-12-22T04:22:07ZengMDPI AGEconometrics2225-11462015-12-013486488710.3390/econometrics3040864econometrics3040864Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and SeasonalityThibault Vatter0Hau-Tieng Wu1Valérie Chavez-Demoulin2Bin Yu3Faculty of Business and Economics (HEC), University of Lausanne, 1015 Lausanne, SwitzerlandDepartment of Mathematics, University of Toronto, Toronto M5S2E4, ON, CanadaFaculty of Business and Economics (HEC), University of Lausanne, 1015 Lausanne, SwitzerlandDepartment of Statistics, University of California, Berkeley 94720, CA, USAWe 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.http://www.mdpi.com/2225-1146/3/4/864intraday spot volatilityseasonalityforeign exchange returnstime-frequency analysissynchrosqueezing |
| spellingShingle | Thibault Vatter Hau-Tieng Wu Valérie Chavez-Demoulin Bin Yu Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality Econometrics intraday spot volatility seasonality foreign exchange returns time-frequency analysis synchrosqueezing |
| title | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality |
| title_full | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality |
| title_fullStr | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality |
| title_full_unstemmed | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality |
| title_short | Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality |
| title_sort | non parametric estimation of intraday spot volatility disentangling instantaneous trend and seasonality |
| topic | intraday spot volatility seasonality foreign exchange returns time-frequency analysis synchrosqueezing |
| url | http://www.mdpi.com/2225-1146/3/4/864 |
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