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Testing mean stationarity of intraday volatility curves

Torben G. Andersen et al.

Quantitative Economics2025https://doi.org/10.3982/qe2644article
AJG 4ABDC A*
Weight
0.44

Abstract

We develop a test for mean stationarity of latent volatility curves using high‐frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives featuring deterministic trends in the volatility curve dynamics. Application to S&P 500 futures data provides strong evidence of nonstationary variation in the volatility pattern, with implications for real‐time risk management and market activity measurement, including identification of spot volatility and the size of price jumps.

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https://doi.org/https://doi.org/10.3982/qe2644

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@article{torben2025,
  title        = {{Testing mean stationarity of intraday volatility curves}},
  author       = {Torben G. Andersen et al.},
  journal      = {Quantitative Economics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.3982/qe2644},
}

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Testing mean stationarity of intraday volatility curves

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Evidence weight

0.44

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.32 × 0.4 = 0.13
M · momentum0.57 × 0.15 = 0.09
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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