This paper studies the intraday volatility of European government bonds under the framework of the multiplicative … component GARCH model (Engle and Sokalska, 2012). Intraday return volatility is specified as the product of daily volatility … debt crisis. We observe large transitory intraday volatility often due to illiquidity effects and outliers. We suggest a …

The paper constructs measures of intra-day realized volatility for 17 European and USA stock indices. We utilize a … model-free de-noising method by assembling the realized volatility in sampling frequency selected according to the … volatility signature plot which minimizes the micro-structure effects. Having verified the stylized facts of realized volatility …

indicate that the volatility of stock market returns is increased in all cases examined. …