International Journal of Business and Economics Volume 1, No. 1 April​, 2002

Intra-Day Features of Realized Volatility: Evidence from an Emerging Market

Burc Kayahan

Department of Economics, University of Guelph, Canada Burak Saltoğlu     Department of Economics, Marmara University, Turkey

Thanasis Stengos

Department of Economics, University of Guelph, Canada Burak Saltoğlu     Department of Economics, Marmara University, Turkey

Abstract

In this paper we investigate the intra-day properties of a recently proposed realized volatility concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997 to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized volatility provides a better fit than the normal GARCH model.

Keywords：intra-day volatility, realized volatility, Istanbul Stock Exchange.

JEL Classifications：C15, C22, G15.

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