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Realized Volatility in Seoul Foreign Exchange Market

Author

Listed:
  • Chung, Chae-Shick

    (Sogang University)

  • Joo , Sang Young

    (Konkuk University)

  • Lee, Seung Moon

    (The Bank Of Korea)

Abstract

This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD. We confirm that the empirical properties of KRW/USD's realized volatility are very similar to early findings major currencies as argued by Andersen et. al(2003). Noteworthy results include the distribution of realized volatility are leptokurtic, but the distributions of logarithmic standard deviations are nearly Gaussian. We also find that the correlation between KRW/USD and major currency, JPY/USD and EURO/USD, are positive and increase with volatility.

Suggested Citation

  • Chung, Chae-Shick & Joo , Sang Young & Lee, Seung Moon, 2003. "Realized Volatility in Seoul Foreign Exchange Market," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 7(2), pages 55-77, December.
    • Handle: RePEc:ris:eaerev:0210
    DOI: 10.11644/KIEP.JEAI.2003.7.2.107
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    Keywords

    Foreign Exchange Market; Realized Volatility; High Frequency; Won; Dollar;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements

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