volatility autocorrelation comes from the fundamental that the trading process is pricing or, is caused by the trading process … itself. Returns and volume data argue, in the context of our model, that persistent volatility is caused by traders … autocorrelation in volatility and volume on the time scale of the trading process which generates returns and volume data. Positive …

This study examines the asymmetric effect of trading volume on realized volatility. The study introduces new realized … volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, and the … comparisons present results in which asymmetric trading variables increase the forecasting accuracy of realized volatility. These …