recent developments in high frequency financial ... - Index of

130
Table 4 (continued)
Frictionless v=5,000 v=20,000 v=40,000
Q
Q
0.09 [1.52] 0.04 [2.05] 0.23 [3.53] 1.36 [6.93]
2
SAP
5.38 [5.42] 3.14 [2.30] 3.54 [1.66] 4.47 [1.57]
δ0 2.2E−04 (1.4E−04) 4.0E−06 (1.4E−04) 4.0E−06 (1.4E−04) 5.0E−06 (1.4E−04)
δ1 0.056 (0.031) 0.058 (0.031) 0.081 (0.031) 0.107 (0.031)
ω 0.233 (0.133) 0.233 (0.123) 0.252 (0.116) 0.304 (0.163)
α1 0.075 (0.034) 0.057 (0.028) 0.065 (0.029) 0.061 (0.031)
β1 0.592 (0.200) 0.626 (0.175) 0.595 (0.161) 0.528 (0.223)
ν 7.677 (1.771) 8.524 (2.157) 8.826 (2.324) 8.448 (2.134)
Q
Q
1.99 [3.39] 1.96 [5.32] 1.84 [10.47] 1.67 [20.75]
2
2.16 [11.23] 0.97 [8.94] 0.39 [10.17] 0.46 [15.58]
See Table 2 for explanations.
1.1.2 Table 5 Decomposition of the unconditional relative liquidity risk premium
at different VaR time horizons
The table reports the three parts of ¼T 1P T
t¼1
mb;t
t ;v2 tðrmm;tÞþT 1PT t¼1
t ;v 1 tðrmb;tÞ
t ;v 2 tðrmm;tÞ 1:
Because of rounding errors, the sum of mean and volatility components might
differ from the figures reported in Table 3.
VaR horizon v=5,000 v=20,000 v=40,000
EVS portfolios
10-min 0.36+0.99−1 0.70+0.98−1 1.16+1.04−1
half-hour 0.19+0.98−1 0.38+0.96−1 0.64+0.97−1
DCX
10-min 0.29+1.01−1 0.62+1.03−1 1.08+1.13−1
half-hour 0.17+0.99−1 0.35+0.98−1 0.60+1.00−1
DTE
10-min 0.27+1.01−1 0.49+1.02−1 0.77+1.08−1
half-hour 0.12+0.98−1 0.25+0.98−1 0.40+0.99−1
SAP
10-min 0.28+1.02−1 0.47+1.03−1 0.73+1.10−1
half-hour 0.13+0.99−1 0.23+1.00−1 0.37+1.02−1
References
P. Giot, J. Grammig
Ahn H, Bae K, Chan K (2001) Limit orders, depth and volatility: evidence from the stock
exchange of Hong Kong. J Finance 56:767–788
Andersen TG, Bollerslev T (1997) Intraday periodicity and volatility persistence in financial
markets. J Empir Finance 4:115–158
Bangia A, Diebold FX, Schuermann T, Stroughair JD (1999) Modeling liquidity risk, with
implications for traditional market risk measurement and management, The Wharton
Financial Institutions Center WP 99-06