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<p>In this paper, we examine the trading patterns in intraday volatility of the Japanese market using 15-minute data of the Nikkei 225 mini from 2016 to 2021. The intraday volatility is analyzed by stochastic volatility (SV) model and decomposed into the intraday periodicity and some factors such as the asymmetry effect and the influence of the length of inactive trading time. The intraday volatility and parameters are estimated by Markov Chain Monte Carlo (MCMC) methods. We use dummy variables to model the intraday periodicity on the return movements. We confirm that the intraday volatility in the Japanese market has a periodic pattern in accordance with the trading hours of domestic and overseas markets.</p>

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Intraday volatility of 24-hour trading pattern in Japanese market

  • 期刊论文

  • 发表日期：

    2025年12月17日

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  • Natsumi Ochiai,
  • Hisashi Tanizaki

摘要

In this paper, we examine the trading patterns in intraday volatility of the Japanese market using 15-minute data of the Nikkei 225 mini from 2016 to 2021. The intraday volatility is analyzed by stochastic volatility (SV) model and decomposed into the intraday periodicity and some factors such as the asymmetry effect and the influence of the length of inactive trading time. The intraday volatility and parameters are estimated by Markov Chain Monte Carlo (MCMC) methods. We use dummy variables to model the intraday periodicity on the return movements. We confirm that the intraday volatility in the Japanese market has a periodic pattern in accordance with the trading hours of domestic and overseas markets.