Variance-ratio statistics and high-frequency data: Testing for changes in intraday volatility patterns

• 成果类型: Article
• 署名作者: Andersen, TG; Bollerslev, T; Das, A
• 署名单位: Northwestern University; Duke University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00326
• 发表日期: 2001
• 页码: 305-327
• 关键词: foreign-exchange market; consistent covariance-matrix; STOCK-RETURN VARIANCES; private information; FINANCIAL MODELS; ARCH models; microstructure; heteroskedasticity; traders; volume

摘要

Variance-ratio tests are routinely employed to assess the Variation in return Volatility over time and across markets. However, such tests are not statistically robust and can be seriously misleading within a high-frequency context. We develop improved inference procedures using a Fourier Flexible Form regression framework. The practical significance is illustrated through tests for changes in the FX intraday Volatility pattern following the removal of trading restrictions in Tokyo. Contrary to earlier evidence, Ne find no discernible changes outside of the Tokyo lunch period. We ascribe the difference to the fragile finite-sample inference of conventional variance-ratio procedures and a single outlier.