Dean Fantazzini to speak on ‘ Long Memory and Periodicity in Intraday Volatility ’

On November 24 a research seminar of the International Laboratory of Quantitative Finance will take place at the HSE. Dean Fantazzini (HSE) will speak on ‘Long Memory and Periodicity in Intraday Volatility’.

Abstract

Intraday return volatility is characterized by the contemporaneous presence of periodicity and long memory. This article proposes two new parameterizations of the intraday volatility process that account for both features: the Fractionally Integrated Periodic EGARCH and the Seasonal Fractional Integrated Periodic EGARCH. The analysis of hourly E-mini S&P 500 futures returns shows that the volatility is characterized by a statistically significant long-range dependence coupled with a periodic leverage effect, with negative return shocks having a larger effect on volatility during the US trading period. Long memory estimates obtained with nonperiodic long memory models are greater than those obtained with FI-PEGARCH and SFI-PEGARCH models. A simulation experiment shows that the long memory component can be strongly biased when periodic patterns are not properly modelled at the intraday level. An out-of-sample forecasting comparison with alternative models shows that a constrained version of the FI-PEGARCH provides superior forecasts.

 Working language: English

Start time: 6.10 pm

Address: 26 Shabolovka Ulitsa, Room 5310

Everyone interested is welcome.

If you need a pass to the HSE, please contact gshahnazarync@hse.ru before 12.00, November 24.