Testing the relationship between short-run and long-run return volatility of index in Chinese stock market

摘要

We use the Food & Beverage, the Utilities, and the Financials indices to examine the relationship between short-run and long-run volatility in Chinese stock market. The initial examination shows that the individual U-shaped intraday patterns of the Food & Beverage and the Utilities indices are roughly similar in both position and shape, while we find that the Financials index's U-shaped intraday pattern is distinctive in position. However, after controlling for conditional volatility in a GARCH(1,1) model, the U-shaped intraday patterns of these three indices are more similar, although the Financials index still has some differences from the Food & Beverage and the Utilities indices in both position and shape.