Intraday Timing and Market Volatility in Indian Financial Markets: An Econometric Approach

This paper examines the effect of intraday timing on market volatility in Indian equity markets, emphasizing the interaction between liquidity, information flow, and investor behavior. Using one and five-minute data from the National Stock Exchange (NSE) between 2018 and 2025, volatility is modeled through GARCH-type econometric models frameworks such as Wavelet Realized Volatility and LSTM-GARCH. The results reveal a distinct U-shaped intraday volatility curve with peaks at market opening and closing hours and heightened fluctuations during macroeconomic announcements. The hybrid LSTM-GARCH model demonstrates superior predictive accuracy, outperforming conventional GARCH by roughly 25 percent. Findings highlight that combining econometric structure with deep-learning flexibility improves real-time volatility forecasting in emerging markets like India.