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Intraday seasonality and intraday value-at-risk

Publication at Faculty of Social Sciences |
2010

Abstract

The paper analyzes the intraday behavior of Czech stock returns using a high-frequency data for three of the most liquid stocks traded on the Prague Stock Exchange. The author employs a quantile regression framework with a seasonality component in order to investigate the effects of intraday seasonality on the variation in the 30-minute sampled intraday returns over the course of the trading day and at different quantiles of the (conditional) returns distribution.