This paper proposes a new way of modeling and forecasting intraday returns. We decompose the volatility of high … product of daily, diurnal and stochastic intraday volatility components. This model is applied to a comprehensive sample …

the arrival rates of trades and trade composition on market volatility, liquidity and depth. We find that although … volatility increases with the forecasted arrival rates of total trades, it is relatively independent of the forecasted …

, durations, realized volatility, daily range, and so on) which exhibit clustering and can be modeled as the product of a vector …, number of trades and realized volatility reveals empirical support for a dynamically interdependent pattern of relationships …

gains over the equation by equation approach using a four variable fully interdependent model with different volatility …