Publication Type
Master Thesis
Version
publishedVersion
Publication Date
5-2025
Abstract
In this study, we conduct an analysis of intraday spot volatility using high-frequency data from the SPDR S&P 500 ETF (SPY). We begin with the assumption that the intraday volatility of asset prices exhibits time-variation. To capture this dynamic behavior, we construct proxies for the unobserved spot volatility by applying appropriate estimators to the high-frequency price data. Following the estimation procedure, we employ various forecasting models to generate volatility forecasts. Finally, we evaluate and compare the predictive performance of these models using established forecast evaluation metrics, and analyze the results.
Keywords
Intraday Volatility, High-Frequency Data, Volatility Forecasting
Degree Awarded
Master of Philosophy in Econ
Discipline
Finance | Finance and Financial Management
Supervisor(s)
ZHANG, Yichong
First Page
1
Last Page
37
Publisher
Singapore Management University
City or Country
Singapore
Citation
WANG, Haolin.
Intraday volatility in financial markets: Evidence from high-frequency data. (2025). 1-37.
Available at: https://ink.library.smu.edu.sg/etd_coll/710
Copyright Owner and License
Author
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.