Asymmetries of the intraday return-volatility relation

This study investigates the asymmetry of the intraday return-volatility relation at different return horizons ranging from 1, 5, 10, 15, up to 60 min and compares the empirical results with results for the daily return horizon. Using data on the S&P 500 (SPX) and the VIX from September 25, 2003 to December 30, 2011 and a Quantile-Regression approach, we observe strong negative return-volatility relation over all return horizons. However, this negative relation is asymmetric in three different aspects. First, the effects of positive and negative returns on volatility are different and more pronounced for negative returns. Second, for both positive and negative returns, the effect is conditional on the distribution of volatility changes. The absolute effect is up to five times larger in the extreme tails of the distribution. Third, at the intraday level, there is evidence of both autocorrelation in volatility changes and cross-autocorrelation with returns. This lead-lag relation with returns is also very asymmetric and more pronounced in the tails of the distribution. These effects are, however, not observed at the daily return horizon.