Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market

DOI: 10.4236/jss.2015.37011   PDF   HTML   XML   3,081 Downloads   3,576 Views   Citations


This paper characterizes the volatility in Hong Kong Stock Market based on a 2-year sample of 5-min Heng Seng Index. By using the method of Flexible Fourier Form Filtering, we have successful removed the periodicity and have built a model of ARMA (1,1)-FIAPARCH (2, 0.300165,1). Further, the intraday volatility exists with long memory and asymmetry; the negative shock from the market will give rise to a higher volatility than the positive ones.

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Dai, W. , Xie, D. and Sun, B. (2015) Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market. Open Journal of Social Sciences, 3, 61-66. doi: 10.4236/jss.2015.37011.

Conflicts of Interest

The authors declare no conflicts of interest.


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