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has been cited by the following article:

• TITLE: Intraday Periodicity and Long Memory Volatility in Hong Kong Stock Market

  AUTHORS: Wei Dai, Dejun Xie, Bianxia Sun

  KEYWORDS: Volatility, High Frequency Data, Periodicity, Long Memory

  JOURNAL NAME: Open Journal of Social Sciences, Vol.3 No.7, July 14, 2015

  ABSTRACT: 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.