Kayahan, Burc; Stengos, Thanasis; Saltoglu, Burak - In: International Journal of Business and Economics 1 (2002) 1, pp. 17-24
In this paper we investigate the intra-day properties of a recently proposed realized volatility concept using Istanbul Stock Exchange (ISE) 5-minute data returns for the period 1997 to 2000. Using GARCH as a benchmark, we confirm recent findings in the literature that realized volatility...