Volatility Patterns of the Largest Polish Companies: Some Evidence From High-Frequency Data

Abstract

Purpose. The article is focused on the empirical properties of the high-frequency data of 20 selected stocks from the Warsaw Stock Exchange (in particular the ones listed on WIG 20).The intraday data from at least more than 1 year were analysed. In particular, correlation between returns and durations were checked. Methodology. Also, the heterogeneous autoregressive model for realized volatility (HAR) was analysed and an attempt to construct the UHF-GARCH model was taken. The HAR model is a linear model and the UHF-GARCH is based on a certain adjustment of physical durations. Then, the standard ARMA-GARCH approach can be considered. Moreover, the hypothesis of Diamond and Verrecchia predicting a negative correlation between price changes and the time passed between transactions was checked. The analysis was done in R statistical software.