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Research outputs 2013

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Intraday Volatility Forecast In Australian Equity Market, Abhay Singh, David E. Allen, Robert Powell Jan 2013

Intraday Volatility Forecast In Australian Equity Market, Abhay Singh, David E. Allen, Robert Powell

Research outputs 2013

On the afternoon of May 6, 2010 Dow Jones Industrial Average (DJIA) plunged about 1000 points (about 9%) in a matter of minutes before rebounding almost as quickly. This was the biggest one day point decline on an intraday basis in the DJIA’s history. An almost similar dramatic change in intraday volatility was observed on April 4, 2000 when DJIA dropped by 4.8%. These historical events present very compelling argument for the need of robust econometrics models which can forecast intraday asset volatility. There are numerous models available in the finance literature to model financial asset volatility. Various Autoregressive Conditional …