New method reveals hidden patterns in stock market volatility fluctuations.
The article focuses on estimating spot volatility in high-frequency data with market noise. It introduces a new method to break down volatility into transaction-time volatility and trading intensity, revealing more about volatility patterns. The new estimator outperforms traditional methods in terms of accuracy. Real-data analysis shows that spot volatility changes throughout the trading day are mainly due to trading intensity, and microstructure noise has minimal impact on volatility estimation.