Abstract

This paper analysed intraday volatility by S&P 500 stock index future product and basic on the high frequency trading strategy. The processes of the model are the GARCH series which including GARCH (1, 1), EGARCH and IGARCH, moreover run such models again by GARCH-In-Mean process. The result presented that EGARCH model is the preferred one of intraday volatility estimation in S&P500 stock index future product. And IGARCH Model is the better one in in-the-sample estimation. Otherwise the IGARCH model is the preferred for estimation in out-of sample and EGARCH model is the better one. GARCH (1, 1) model haven’t good performance in the testing. Overall the result will engaged in microstructure market analysis and volatility arbitrage in high frequency trading strategy.

This work is licensed under a Creative Commons Attribution 4.0 License.