Stylized Facts of Low-Frequency And High-Frequency Data of Global Stock Markets


Aridi, Nor Azliana and Tan, Siow Hooi and Chin, Wen Cheong (2021) Stylized Facts of Low-Frequency And High-Frequency Data of Global Stock Markets. In: 2nd Post Graduate Social Science Colloquium Proceedings 2021, 8-9 June 2021, Cyberjaya, Malaysia. (Submitted)

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High-Frequency Trading (HFT) is a trading method that use current technology with fastest speed to examine multiple trading markets that enable a large amount of information to be gathered in fractions of a second which is known as high-frequency data. Since tick by tick high-frequency data can be collected per second, it assumed to bring distinctive features and properties which are more suitable to be used in the latest econometric modelling and financial data analysis. This research aims to study on the specific features and empirical facts that existed in the high-frequency time series data which are not available in the low-frequency data. It is imperative to understand the stock market behavior between the low-frequency and high-frequency data to improve the stock market volatility forecasting. Purpose – Subsequent data analysis of this research is to do comparison on the volatility forecasting model that rely on daily returns (low-frequency) with model that use intraday returns (high-frequency data) by using the relevant econometric models available for both data. As early empirical evidence suggest that intraday data can capture more empirical facts, the high-frequency econometric model (Realized-GARCH) is expected to generate significant improvement in the volatility forecasting as compared to the standard GARCH models that rely on the daily returns. This research will be extended further on investigating the volatility forecasting during extreme market events by applying the realized volatility forecasting into Extreme Value Theory (EVT) framework which is called Realized-EVT.

Item Type: Conference or Workshop Item (Paper)
Additional Information: 2nd Post Graduate Social Science Colloquium Proceedings 2021 (Book of Abstract)
Uncontrolled Keywords: Extreme value theory, realized volatility, stylized facts, volatility forecasting
Subjects: Q Science > QA Mathematics > QA273-280 Probabilities. Mathematical statistics
Divisions: Faculty of Management (FOM)
Depositing User: Ms Nurul Iqtiani Ahmad
Date Deposited: 20 Oct 2021 09:32
Last Modified: 20 Oct 2021 09:32


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