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  1. 1 Metody Ilościowe w Badaniach Ekonomicznych

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  1. 1 Sokalska M.

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  1. 1 2010

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Intraday volatility modeling: the example of the Warsaw Stock Exchange

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Sokalska M.
Metody Ilościowe w Badaniach Ekonomicznych
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2010
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vol. 11
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issue 1
139-144
EN
We present an intraday volatility model for equally spaced data and apply it for the WIG Index- a broad market index of the Warsaw Stock Exchange. The current study is an application and extension of the model proposed by Engle and Sokalska [2010]. We decompose the conditional variance of intraday returns into components that have a natural interpretation and can be easily estimated.
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