Quantitative Economics
Journal of the Econometric Society
Edited by: Bernard Salanié • Print ISSN: 1759-7323 • Online ISSN: 1759-7331
Quantitative Economics: Jul, 2025, Volume 16, Issue 3
Testing Mean Stationarity of Intraday Volatility Curves
https://doi.org/10.3982/QE2644
p. 1059-1091
Torben G. Andersen|Yingwen Tan|Viktor Todorov|Zhiyuan Zhang
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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Supplemental Material
Supplement to "Testing Mean Stationarity of Intraday Volatility Curves"
Torben G. Andersen, Yingwen Tan, Viktor Todorov, and Zhiyuan Zhang
This supplement contains material not found within the manuscript.
Supplement to "Testing Mean Stationarity of Intraday Volatility Curves"
Torben G. Andersen, Yingwen Tan, Viktor Todorov, and Zhiyuan Zhang
The replication package for this paper is available at https://doi.org/10.5281/zenodo.15597345. The authors were granted an exemption to publish parts of their data because either access to these data is restricted or the authors do not have the right to republish them. However, the authors included in the package, on top of the codes and the parts of the data that are not subject to the exemption, a simulated or synthetic dataset that allows running the codes. The Journal checked the data and the codes for their ability to generate all tables and figures in the paper and approved online appendices. Whenever the available data allowed, the Journal also checked for their ability to reproduce the results. However, the synthetic/simulated data are not designed to produce the same results.
