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Volatility patterns of the largest Polish companies: Some evidence from high-frequency data

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dc.abstract.enPurpose. The article is focused on the empirical properties of the high-frequency data of 20 selected stocks from the Warsaw Stock Exchange (in particular the ones listed on WIG 20).The intraday data from at least more than 1 year were analysed. In particular, correlation between returns and durations were checked. Methodology. Also, the heterogeneous autoregressive model for realized volatility (HAR) was analysed and an attempt to construct the UHF-GARCH model was taken. The HAR model is a linear model and the UHF-GARCH is based on a certain adjustment of physical durations. Then, the standard ARMA-GARCH approach can be considered. Moreover, the hypothesis of Diamond and Verrecchia predicting a negative correlation between price changes and the time passed between transactions was checked. The analysis was done in R statistical software. Findings. The presented research can serve as an introduction to some further (and more thorough and narrow) researches. Except a direct presentation of outcomes from the study of the selected stocks from the Warsaw Stock Exchange, the paper contains quite an extensive literature review on high-frequency data.
dc.affiliationUniwersytet Warszawski
dc.contributor.authorDrachal, Krzysztof
dc.date.accessioned2024-01-26T11:49:45Z
dc.date.available2024-01-26T11:49:45Z
dc.date.issued2018
dc.description.financeNie dotyczy
dc.description.number1
dc.description.volume4
dc.identifier.issn1849-8795
dc.identifier.urihttps://repozytorium.uw.edu.pl//handle/item/124697
dc.identifier.weblinkhttps://hrcak.srce.hr/198714
dc.languageeng
dc.pbn.affiliationeconomics and finance
dc.relation.ispartofREVIEV OF INNOVATION AND COMPETITIVENESS
dc.relation.pages47-72
dc.rightsClosedAccess
dc.sciencecloudnosend
dc.titleVolatility patterns of the largest Polish companies: Some evidence from high-frequency data
dc.typeJournalArticle
dspace.entity.typePublication