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How Does the Daily Volatility of Foreign Exchange Rates Depend on the Time of Day at Which the Daily Returns Are Calculated?

Doman, Małgorzata - 2020

In the paper, we show how the estimates of the daily volatility of major exchange rates, EUR/USD, AUD/USD, GBP/USD, and … reason why the dynamics of volatility changes during a trading day. To analyze this feature, we consider daily returns … calculated using the exchange rates quoted at each full hour of a day. Volatility (the square root of the conditional variance …

Persistent link: https://www.econbiz.de/10012828323

Modeling exchange rate volatility in selected WAMZ countries : evidence from symmetric and asymmetric GARCH models

Eregha, Perekunah B.; Egwaikhide, Festus O.; Osuji, Emeka - In: Spoudai : journal of economics and business 70 (2020) 1/2, pp. 58-80

volatility clustering among selected WAMZ countries for the period 1980-2016. The univariate symmetric and asymmetric ARCH …/GARCH modeling approach is employed with the Maximum Likelihood Estimation Technique and the results show exchange rate volatility …

Persistent link: https://www.econbiz.de/10012295359

The High-Frequency Response of the EUR-US Dollar Exchange Rate to ECB Communication

Conrad, Christian; Lamla, Michael J. - 2013

We investigate the impact of the European Central Bank’s monetary policy communication during the press conference held after the monthly Governing Council meeting on the EUR-USD exchange rate in high-frequency. Based on the method of Content Analysis we construct communication indicators for...

Persistent link: https://www.econbiz.de/10014223949

The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Conrad, Christian A. (contributor); … - 2007

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

Persistent link: https://www.econbiz.de/10003763600

Exchange Rate Exposure of Sectoral Returns and Volatilities : Evidence from Japanese Industrial Sectors

Jayasinghe, Prabhath - 2014

, namely: sensitivity of stock returns to exchange rate changes; sensitivity of volatility of stock returns to volatility of … its asymmetric conditional volatility of exchange rate exposure. In addition, returns in many sectors are correlated with …

Persistent link: https://www.econbiz.de/10013051554

A hybrid joint moment ratio test for financial time series

Groenendijk, Patrick A.; Lucas, André; Vries, Casper G. de - 1998

. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

Persistent link: https://www.econbiz.de/10011299968

Forecasting Volatility in Developing Countries' Nominal Exchange Returns

Antonakakis, Nikolaos - 2014

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …

Persistent link: https://www.econbiz.de/10013058579

Volatility Clustering, Fat Tails and Bitcoin Exchange Rate Returns

Liu, Ruiping - 2017

In the era of diminishing power from US dollar and increasing competition among world currencies, Bitcoin, as a completely new concept as a medium of exchange, has received increasing attentions over the world. Nowadays, Bitcoin also becomes an investment vehicle, which carries attractive...

Persistent link: https://www.econbiz.de/10012950255

Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian

Andersen, Torben - 2016

ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

Persistent link: https://www.econbiz.de/10013004300

GARCH Model With Fat-Tailed Distributions and Bitcoin Exchange Rate Returns

Guo, Zi-Yi - 2020

Persistent link: https://www.econbiz.de/10012826608