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Monetary information arrivals and intraday exchange rate volatility : A comparison of the GARCH and the EGARCH models

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Author Info
Darmoul Mokhtar () (Centre d'Economie de la Sorbonne)
Nizar Harrathi () (LEGI - Ecole Polytechnique de Tunis)
Abstract

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process.

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File URL: ftp://mse.univ-paris1.fr/pub/mse/CES2007/Bla07035.pdf
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Publisher Info
Paper provided by Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne in its series Documents de travail du Centre d'Economie de la Sorbonne with number bla07035.

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Length: 25 pages
Date of creation: Jun 2007
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Handle: RePEc:mse:cesdoc:bla07035

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Web page: http://ces.univ-paris1.fr/
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Related research
Keywords: Exchange rate; official intervention; monetary policy; GARCH models.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
F31 - International Economics - - International Finance - - - Foreign Exchange
G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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This page was last updated on 2009-11-23.

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