Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and … the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper …, we extend the stochastic volatility (SV) model for application with such intraday high-frequency data and develop an …

estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price …We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian … distributions. We allow for stochastic volatility by modeling the variance as a stochastic function of time, with intra-day periodic …