Testing for seasonal patterns in conditional return volatility: Evidence from Asia-Pacific markets

Andrew Clare; Ian Garrett; Greg Jones

Testing for seasonal patterns in conditional return volatility: Evidence from Asia-Pacific markets

Andrew Clare, Ian Garrett, Greg Jones

A&F Accounting & Finance

Research output: Contribution to journal › Article › peer-review

Abstract

Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.

Original language	English
Pages (from-to)	517-523
Number of pages	6
Journal	Applied Financial Economics
Volume	7
Issue number	5
Publication status	Published - 1997

Cite this

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title = "Testing for seasonal patterns in conditional return volatility: Evidence from Asia-Pacific markets",

abstract = "Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.",

author = "Andrew Clare and Ian Garrett and Greg Jones",

year = "1997",

language = "English",

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pages = "517--523",

journal = "Applied Financial Economics",

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AU - Clare, Andrew

AU - Garrett, Ian

AU - Jones, Greg

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AB - Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.

M3 - Article

SN - 0960-3107

VL - 7

SP - 517

EP - 523

JO - Applied Financial Economics

JF - Applied Financial Economics

IS - 5

ER -

Testing for seasonal patterns in conditional return volatility: Evidence from Asia-Pacific markets

Abstract

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