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Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates

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Author Info
Y.-F. Gau
M. Hau

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Abstract

This study uses the periodic GARCH (P-GARCH) model of Bollerslev and Ghysels ( 1996 ) to capture the irregularly repetitive seasonal variation in the volatility of 15-minute NTD/USD exchange rate changes. The specification of state variables enables us to test the microstructure hypotheses in the FX market.

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 11 (2004)
Issue (Month): 4 (March)
Pages: 263-266
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Handle: RePEc:taf:apeclt:v:11:y:2004:i:4:p:263-266

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  1. Andersen, Torben G. & Bollerslev, Tim, 1997. "Intraday periodicity and volatility persistence in financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 115-158, June. [Downloadable!] (restricted)
  2. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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  3. Dacorogna, Michael M. & Muller, Ulrich A. & Nagler, Robert J. & Olsen, Richard B. & Pictet, Olivier V., 1993. "A geographical model for the daily and weekly seasonal volatility in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 12(4), pages 413-438, August. [Downloadable!] (restricted)
  4. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02. [Downloadable!] (restricted)
  5. Baillie, R.T. & Bollerslev, T., 1989. "Intra Day And Inter Market Volatility In Foreign Exchange Rates," Papers 8811, Michigan State - Econometrics and Economic Theory.
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  6. Martin Martens & Yuan-Chen Chang & Stephen J. Taylor, 2002. "A Comparison Of Seasonal Adjustment Methods When Forecasting Intraday Volatility," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 25(2), pages 283-299. [Downloadable!] (restricted)
  7. Harvey, Campbell R & Huang, Roger D, 1991. "Volatility in the Foreign Currency Futures Market," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 4(3), pages 543-69. [Downloadable!] (restricted)
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