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?
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".
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
