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Last Updated 24 Feb 2022
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    State heterogeneity analysis of financial volatility using high‐frequency financial data

    Recently, to account for low-frequency market dynamics, several volatility models, employing high-frequency financial data, have been developed. However, in financial markets, we often observe that financial volatility processes depend on economic states, so they have a state heterogeneous structure. In this article, to study state heterogeneous market dynamics based on high-frequency data, we introduce a novel volatility model based on a continuous Itô diffusion process whose intraday instantaneous volatility process evolves depending on the exogenous state variable, as well as its integrated volatility. We call it the state heterogeneous GARCH-Itô (SG-Itô) model. We suggest a quasi-likelihood estimation procedure with the realized volatility proxy and establish its asymptotic behaviors. Moreover, to test the low-frequency state heterogeneity, we develop a Wald test-type hypothesis testing procedure. The results of empirical studies suggest the existence of leverage, investor attention, market illiquidity, stock market comovement, and post-holiday effect in S&P 500 index volatility.

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