Research topic
Volatility, high-frequency data and macroeconomic news
We use intraday data to measure volatility, forecast risk and trace how markets absorb information.
Main questions
Does realized volatility from intraday data forecast risk better than GARCH and stochastic volatility models? Is intraday data useful for Value-at-Risk forecasts? How do European stock indices react, minute by minute, to US macroeconomic announcements?
Methods
Realized volatility and jump measures, GARCH-type and stochastic volatility models, Value-at-Risk backtesting and event studies on intraday returns.
Publications (15)
When markets never sleep: Intraday liquidity patterns and macroeconomic announcement effects in cryptocurrency trading
Mercik, A.R., Będowska-Sójka, B. (2026). SSRN Working Paper.
Is intraday data useful for forecasting VaR? The evidence from EUR/PLN exchange rate
Będowska-Sójka, B. (2018). Risk Management, 20(4), 326–346.
Daily VaR forecasts with realized volatility and GARCH models
Będowska-Sójka, B. (2015). Argumenta Oeconomica, 34(1), 157–173.
Wpływ informacji na ceny instrumentów finansowych: analiza danych śróddziennych
Będowska-Sójka, B. (2014). Wydawnictwo Uniwersytetu Ekonomicznego w Poznaniu.
Badania reakcji na ogłoszenia makroekonomiczne w śróddziennych zwrotach z indeksów giełdowych
Będowska-Sójka, B. (2013). Studia Oeconomica Posnaniensia, 1(9), 20–35.
Macroeconomic news effects on the stock markets in intraday data
Będowska-Sójka, B. (2013). Central European Journal of Economic Modelling and Econometrics, 5(4), 249–269.
Jumps in stock returns. Evidence from the Polish Stock Exchange
Będowska-Sójka, B. (2012). University of Lodz (materiały konferencyjne), 10, 121–135.
Volatility forecasts based on data sampled at different frequencies
Będowska-Sójka, B. (2012). Advanced Risk & Portfolio Management Paper (SSRN).
Zastosowanie zmienności zrealizowanej i modeli typu ARCH w wyznaczaniu wartości zagrożonej
Będowska-Sójka, B. (2012). Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu, 11–22.
Interdependence between the CAC40 and the DAX indices in intraday data
Będowska-Sójka, B. (2011). Ekonometria (UE we Wrocławiu), 143–152.
Prognozowanie zmienności zwrotów z akcji z wykorzystaniem danych śróddziennych
Będowska-Sójka, B. (2011). Zeszyty Naukowe Uniwersytetu Ekonomicznego w Poznaniu, 41–52.
The impact of macro news on volatility of stock exchanges
Będowska-Sójka, B. (2011). Dynamic Econometric Models, 11, 99–110.
Intraday CAC40, DAX and WIG20 returns when the American macro news is announced
Będowska-Sójka, B. (2010). Bank i Kredyt, 41(2), 7–20.
Macroeconomic announcements and volatility of intraday WIG and DAX returns
Będowska-Sójka, B. (2010). University of Lodz (materiały konferencyjne), 8, 57–68.
Realized volatility versus GARCH and stochastic volatility models. The evidence from the WIG20 index and the EUR/PLN foreign exchange market
Będowska-Sójka, B., Kliber, A. (2010). Przegląd Statystyczny, 57(4), 105–127.
Conference talks (2)
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
IX Wrocław Conference in Finance (WROFIN), Wrocław, Poland, May 2026
When Markets Never Sleep: Intraday Liquidity Patterns and Volatility Effects in Cryptocurrency Trading
2nd Modern Finance Conference (MFC 2025), Warsaw, Poland, September 2025