This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump … estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted model …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump … estimators. This combined effect adversely affects forecasting. To account for this, we propose a periodicity-adjusted model …

The paper provides a fresh look at the role of daytime auctions in intraday periodicity of stock returns. First, I show … that daytime auctions, together with market opening and market closing intervals, drive the periodicity of stock returns …