# Does heteroskedasticity of returns depend on the time frame?

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?

• Hi Monolite! Can you specify what is the model you're referring to (GARCH, ARCH, ...)? – Quantopik Jun 17 '15 at 17:57

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 $\sqrt{T}$.