Time-Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers
AbstractWe examine empirically the volatility of four major US dollar spot exchange rates using intraday data over 40 trading days. Using multivariate stochastic volatility models, we investigate the degree of persistence of exchange rate volatility for data sampled at different frequencies and the role of volatility spillovers across exchange rates. We find that the noise component of volatility 'aggregates out' very quickly, being dominated by the more persistent component of volatility for data sampled at 15-minute or lower frequencies. Our results also suggest that exchange rate volatility is very persistent and that cross-currency spillovers are small. Copyright Blackwell Publishers Ltd, 2004.
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Bibliographic InfoArticle provided by Wiley Blackwell in its journal Journal of Business Finance & Accounting.
Volume (Year): 31 (2004-06)
Issue (Month): 5-6 ()
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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X
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- Yue Peng & Wing Ng, 2012. "Analysing financial contagion and asymmetric market dependence with volatility indices via copulas," Annals of Finance, Springer, vol. 8(1), pages 49-74, February.
- Ciner, Cetin, 2011. "Information transmission across currency futures markets: Evidence from frequency domain tests," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 134-139, June.
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