Romo Urroz, Juan JoséRuiz Ortega, EstherAlva Chávez, Kenedy PedroRomo Urroz, Juan JoséRuiz Ortega, Esther2024-02-092024-02-092009-032387-0303https://hdl.handle.net/20.500.14352/101056We 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.engAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/working paperhttp://hdl.handle.net/10016/3879open access519.22-7C14Market microstructureUltra-high frequency dataFunctional data analysisFunctional AR(1) modelEstadística1209 Estadística