Detection of a structural break in intraday volatility pattern
日内波动率模式的结构突变检测
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern. The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic volatility model for scalar point-to-point returns. In our context, we study intraday curves, one curve per trading day. After postulating a suitable model for such functional data, we present three tests focusing, respectively, on changes…