English, Article edition: Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market Weihua Shi; Cheng-Few Lee

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Physical Description
  • article
Language
  • English

Edition details

Title
  • Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market
Author
  • Weihua Shi
  • Cheng-Few Lee
Physical Description
  • article
Notes
  • The availability of a two-year high-frequency transaction data of the Japanese Government Bond (JGB) futures provides us with an opportunity to uncovering volatility persistence in high-frequency returns and testing the mixed-distribution-hypothesis (MDH) in this market. Both time-domain and frequency domain methods show that the degrees of volatility persistence are very similar across various frequencies, which supports the MDH. The result also shows that the method of filtering out the intraday pattern annihilates the complex interaction of the intraday periodicity and the volatility persistent process, and effectively uncovers volatility persistence phenomenon in the high-frequency data.
  • Volatility persistence, high-frequency returns, Japanese government bond futures
  • RePEc:wsi:rpbfmp:v:11:y:2008:i:04:p:511-530
Language
  • English
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