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Similarly to my last question, for which I obtained very interesting and useful answers, I would like to know if there has been any study regarding heteroskedasticity and time-frames of the returns.

As an example could it be that the lower the time frame (take the 5 minute returns) the less heteroskedastic are returns?

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  • $\begingroup$ Hi Monolite! Can you specify what is the model you're referring to (GARCH, ARCH, ...)? $\endgroup$
    – Quantopik
    Jun 17, 2015 at 17:57

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In practice, for heavily traded assets (above 60% quantile of average daily dollar volume), individual asset return is pretty scalable across different time frame by a factor of $\sqrt{T}$.

However, for covariance among different assets, moving between different time frame is not linearly scalable (although it should be in math). This is known as "Epps Effect".

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This paper states that heteroskedasticity is a stylized fact in daily as well as intra-day returns: https://statistik.econ.kit.edu/download/doc_secure1/HandbookITandFinan.pdf

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