Stock Price Volatility within a Trading Day.

摘要

This thesis investigates the structure of intraday stock price volatility. By using price data from NYSE Trade and Quotes (TAQ) database for the Dow 30 stocks plus an exchange traded fund, we estimate realized volatility for 5-minute intervals for each trading day from 2001 to 2009. A structural model is developed in which the volatility process reverts to a mean. Typically, volatility starts high at the market open, followed by a rapid decrease toward the mean lasting an hour or so. Our model shows that the intraday volatility process exhibits strong mean reversion for all stocks in our sample.