Volatility Analysis in Different Intraday Time Frequencies: An Empirical Investigation
Keywords:
Intraday Volatility, number of transaction, trade size, High frequency data, GARCH (Generalized AutoRegressive Conditional Heteroskedasticity)Abstract
Volatility of Futures market study is one of the most discussed and empirically explored area of stock market research across academicians, researchers and financial analysts. Many researchers have analysed the positive volatility-volume relationship and the effect of decomposed components of volume (number of transactions and average trade size) in different markets on volatility. In this study we investigate the effect of number of transactions and trade size on volatility of S&P CNX Nifty futures index using high-frequency data. Three different intraday time frequencies, 1, 15 and 30 minutes have been used for the purpose. The data is sourced from NSE (National Stock Exchange). GARCH model is found to be appropriate to explain the intraday volatility behaviour. The empirical results reveal that number of trades contains more information and has more impact than trade size on volatility and different time-frequency are also able to show interesting facts explaining intraday volatility. The study contributes much relevance to the investors and researchers to analyse the volatility behaviour and markets in taking appropriate investment and further research decisions respectively.
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