  This paper proposes a multiplicative component intraday volatility model. The
intraday conditional volatility is expressed as the product of intraday
periodic component, intraday stochastic volatility component and daily
conditional volatility component. I extend the multiplicative component
intraday volatility model of Engle (2012) and Andersen and Bollerslev (1998) by
incorporating the durations between consecutive transactions. The model can be
applied to both regularly and irregularly spaced returns. I also provide a
nonparametric estimation technique of the intraday volatility periodicity. The
empirical results suggest the model can successfully capture the
interdependency of intraday returns.
