Intraday periodicity and volatility persistence in financial markets

Torben G. Andersen, Tim Bollerslev*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

668 Scopus citations


The pervasive intraday periodicity in the return volatility in foreign exchange and equity markets is shown to have a strong impact on the dynamic properties of high frequency returns. Only by taking account of this strong intraday periodicity is it possible to uncover the complex intraday volatility dynamics that exists both within and across different financial markets. The explicit periodic modeling procedure developed here provides such a framework and thus sets the stage for a formal integration of standard volatility models with market microstructure variables to allow for a more comprehensive empirical investigation of the fundamental determinants behind the volatility clustering phenomenon.

Original languageEnglish (US)
Pages (from-to)115-158
Number of pages44
JournalJournal of Empirical Finance
Issue number2-3
StatePublished - Jun 1997


  • ARCH
  • Intraday periodicity
  • Temporal aggregation
  • Volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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