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- W2068906335 abstract "Given the growing importance of the Taiwan stock market, the present study sets out to provide a comprehensive investigation of the intraday time series of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX). We begin by exploring the intraday volatility patterns and then go on to examine their impact on intraday volatility forecasting. We find that the volatility of the TAIEX returns exhibits an L-shaped intraday periodic pattern, which is distinct across each day of the week. Our empirical results indicate that taking the intraday periodic pattern into account in a generalized autoregressive conditional heteroskedasticity model can substantially improve the precision of intraday volatility forecasting." @default.
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- W2068906335 date "2010-02-01" @default.
- W2068906335 modified "2023-10-16" @default.
- W2068906335 title "Intraday Volatility Patterns in the Taiwan Stock Market and the Impact on Volatility Forecasting" @default.
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- W2068906335 doi "https://doi.org/10.1111/j.2041-6156.2009.00004.x" @default.
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