Asymmetric volatility dynamics in high frequency FTSE-100 stock index futures

摘要: This paper examines whether variants of the GARCH class model with capacity to accommodate volatility asymmetries and feedback are able provide an adequate representation non-linear dependency in intraday FTSE-100 stock index futures returns at quarter-hour hourly frequency. Significant variance asymmetry is identified, such that negative shocks induce a greater response than equivalent positive shocks, but additional effect subsequently depressing 15-minute In absence financial leverage arguments market considered, statistically significant effect, interpreted as indirect evidence for presence noise traders, attracted markets by low transaction costs margin requirements. contrast previous results using data, notable remaining structure asymmetric models frequency found,...