Intraday periodicity and long memory volatility processes in the Korean bond futures market

Kang, Sang Hoon and Nguyen, Hoa 2006, Intraday periodicity and long memory volatility processes in the Korean bond futures market, in The 4th International Conference on Accounting and Finance in Transition (ICAFT 2006), University of South Australia, Adelaide, S. Aust., pp. 1-21.

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Title Intraday periodicity and long memory volatility processes in the Korean bond futures market
Author(s) Kang, Sang Hoon
Nguyen, Hoa
Conference name International Conference on Accounting and Finance in Transition (4th: 2006: Adelaide, S. Aust.)
Conference location Adelaide, S. Aust.
Conference dates 10-12 April 2006
Title of proceedings The 4th International Conference on Accounting and Finance in Transition (ICAFT 2006)
Editor(s) McIver, Ronald
Publication date 2006
Conference series International Conference on Accounting and Finance in Transition
Start page 1
End page 21
Publisher University of South Australia
Place of publication Adelaide, S. Aust.
Summary This article examines long memory volatility processes in the 5 minute Korean Treasury bond futures data using two different techniques: the GPH test and the EML test. Two proxies of volatility returns are used: absolute returns and square returns. We found intraday periodicity and autocorrelation persistence in the volatility for the 5 minute returns. The empirical results from both techniques indicate that there is little evidence of long memory in the level of returns, but there is significant evidence of long memory in the absolute returns and the square returns. This implies that volatility is best characterised by long memory processes. Additionally, we found that the absolute returns are the most appropriate indicator to represent the long memory volatility processes.
ISSN 1751-830X
Language eng
Field of Research 150201 Finance
HERDC Research category E1 Full written paper - refereed
Persistent URL http://hdl.handle.net/10536/DRO/DU:30009776

Document type: Conference Paper
Collection: School of Accounting, Economics and Finance
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