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Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity

Ovidijus Stauskas & Genaro Sucarrat

Journal of Financial Econometrics2025https://doi.org/10.1093/jjfinec/nbaf013article
AJG 3ABDC A*
Weight
0.37

Abstract

Recent studies show that the zero-process of observed intraday financial returns is frequently characterized by non-stationary periodicity. As liquidity varies across the trading day, not only does unconditional volatility change, but also the unconditional zero-probability. While scaling returns by the time-varying intraday volatility may stabilize volatility, it does not make the zero-process of scaled returns stationary. This invalidates standard methods of risk estimation, and recent studies document that the use of such invalid methods can have major effects on risk estimates. Formal tests for non-stationary periodicity in the zero-process can therefore be of great value in guiding the choice of a suitable risk estimation procedure. Despite this, little attention has been devoted to the derivation of such tests. Here, we help filling this gap by developing user-friendly yet flexible and powerful tests that hold under mild assumptions. Next, our empirical study reveals that intraday financial returns are widely characterized by non-stationary periodicity in the zero-process. This has important and potentially wide-ranging implications for future research.

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https://doi.org/https://doi.org/10.1093/jjfinec/nbaf013

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@article{ovidijus2025,
  title        = {{Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity}},
  author       = {Ovidijus Stauskas & Genaro Sucarrat},
  journal      = {Journal of Financial Econometrics},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1093/jjfinec/nbaf013},
}

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Testing the Zero-Process of Intraday Financial Returns for Non-Stationary Periodicity

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Evidence weight

0.37

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

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.