Analysis of Intraday Volatility using High Frequency Data: An Empirical Investigation of Indian Futures Market

Abstract

In this paper, the authors have tried to analyze the intraday volatility behaviour of the S & P Nifty Index Futures prices. High frequency data (thirty minutes frequency), for the period June 2012 to May 2013, was taken for the study. Variables such as the trade size, number of trades and traded price from the trades directory and unexecuted orders of buy/sell quantity from the limit order book were included in the model to test if they have any significant impact on volatility. However, the highlight of the research is the inclusion of the interaction term (number of trades into trade size) as one of the explanatory variable into the garch volatility equation. The findings of the research is expected to contribute towards the existing body of literature, and at the same time throw some more light on the behaviour of the intraday volatility in the Index Futures prices from the dimensions that were not tested earlier in the existing research studies.