Changing in the volatilities of Iran microstructure market by BARJAM
Subject Areas : Financial engineering
1 - financial engineering, engineering faculty, science and culture university, Tehran
Keywords: BARJAM, Microstructure noise, Jump, volatility, Pre-averaging,
Abstract :
In the recent years, high frequency trading is becoming more popular among financial analysts in Iran. To analyze these data need special methods because of microstructure noise effect. In this study, the goal is assessment of realized volatilities according to the BARJAM effect from May to October in 2014 and 2016. This study uses the information about crucial Iran indices: Total index, Bank, Oil Industry Investment, Petrochemical Industry Investment and Automobile Industry indices. To estimate Integrated Matrix using “Pre-averaging” because this approach is able to control the effect of microstructure noise and, “Hayashi-Yoshida” is used to synchronization among indices. Moreover, the price jumps are removed to get more accurate estimator. The study of daily volatilities and their comparison show a positive effect of BARJAM on Total index, Bank and Oil Industry Investment, but there is not noticeable influence in Automobile Industry and Petrochemical Industry Investment. Finally, time series is modeled to forecast the volatility of indices in a short term.
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