RT Generic
T1 Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market
A1 Alva Chávez, Kenedy Pedro
A1 Romo Urroz, Juan José
A1 Ruiz Ortega, Esther
AB We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models. The estimation of the corresponding parameters is carried out using the functional equivalent to OLS. We apply these ideas to the empirical analysis of the IBEX35 returns observed each _ve minutes. We also analyze the performance of the proposed functional AR(1) model to predict the volatility along a given day given the information in previous days for the intra-daily volatility for the firms in the IBEX35 Madrid stocks index.
SN 2387-0303
YR 2009
FD 2009-03
LK https://hdl.handle.net/20.500.14352/101056
UL https://hdl.handle.net/20.500.14352/101056
LA eng
DS Docta Complutense
RD 5 abr 2025