Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approach

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• dc.contributor.author Banulescu-Radu, Denisaca
• dc.contributor.author Hansen, Peterca
• dc.contributor.author Huang, Zhuoca
• dc.contributor.author Matei, Mariusca
• dc.date.accessioned 2017-06-21T11:04:56Z
• dc.date.available 2017-06-21T11:04:56Z
• dc.date.issued 2017-05
• dc.description.abstract We study financial volatility during the global financial crisis and use the largest volatility shocks to identify major events during the crisis. Our analysis makes extensive use of high frequency (HF) financial data to model volatility and, importantly, to determine the timing within the day when the largest volatility shocks occurred. The latter helps us identify the events that may be associated with each of these shocks, and serves to illustrate the benefits of using high-frequency data. Some of the largest volatility shocks coincide, not surprisingly, with the bankruptcy of Lehman Brothers on September 15, 2008 and Congress’s failure to pass the Emergency Economic Stabilization Act on September 29, 2008. The day with the largest volatility shock was February 27, 2007, the date when Freddie Mac announced a stricter policy for underwriting subprime loans and a date that was marked by a crash on the Chinese stock market. However, the intraday HF data shows that the main culprit was a computer glitch in the trading system. The days with the largest drops in volatility can in most cases be related to interventions by governments and central banks.ca
• dc.description.sponsorship The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
• dc.format.mimetype application/pdfca
• dc.identifier.uri http://hdl.handle.net/10230/32390
• dc.language.iso engca
• dc.relation.ispartofseries ADEMU Working Paper Series;63
• dc.relation.projectID info:eu-repo/grantAgreement/EC/H2020/649396
• dc.rights This is an Open Access article distributed under the terms of the Creative Commons Attribution License Creative Commons Attribution 4.0 International, which permits unrestricted use, distribution and reproduction in any medium provided that the original work is properlyattributed.ca
• dc.rights.accessRights info:eu-repo/semantics/openAccessca
• dc.rights.uri https://creativecommons.org/licenses/by/4.0/ca
• dc.subject.keyword Financial crisis
• dc.subject.keyword Volatility
• dc.subject.keyword High frequency data
• dc.subject.keyword Realized GARCH
• dc.title Volatility during the financial crisis through the lens of high frequency data: a realized GARCH approachca
• dc.type info:eu-repo/semantics/workingPaperca