7. Intraday Realized Volatility Models

  1. Evdokia Xekalaki and
  2. Stavros Degiannakis

Published Online: 31 MAR 2010

DOI: 10.1002/9780470688014.ch7

ARCH Models for Financial Applications

ARCH Models for Financial Applications

How to Cite

Xekalaki, E. and Degiannakis, S. (2010) Intraday Realized Volatility Models, in ARCH Models for Financial Applications, John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9780470688014.ch7

Author Information

  1. Department of Statistics Athens University of Economics and Business, Greece

Publication History

  1. Published Online: 31 MAR 2010
  2. Published Print: 16 APR 2010

ISBN Information

Print ISBN: 9780470066300

Online ISBN: 9780470688014



  • ARFIMAX model;
  • in-sample analysis;
  • intraday realized volatility models;
  • variance


The modelling of realized volatility is based on using the sum of squared intraday returns to generate more accurate daily volatility measures. This chapter investigates some properties of the realized volatility for the CAC40, DAX30, FTSE100 and S&P500 indices and estimates the ARFIMAX specification using the logarithm of the realized variance as the dependent variable. The in-sample analysis would require estimation of an ARFIMAX model.

Controlled Vocabulary Terms

ARFIMA model; sampling; variance