Промышленный лизинг Промышленный лизинг  Методички 

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inferior overall fit. As seen in Fig. 2b, the volatility profile for the last fifteen minutes of trading (intervals 78, 79 and 80) shows an abrupt change from the overall smooth intraday pattern. Three dummy variables are included to minimize the distortions that may otherwise arise from this distinct period i.e. dx = 78, d2 = 79 and d3 = 80. The resulting fit depicted in Fig. 6b again testifies to the success of this relatively simple procedure for modeling the periodicity in intraday financial market volatility.


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