Intraday exchange rate volatility: ARCH, news and seasonality effects

Gau, Yin‐Feng; Hua, Mingshu

doi:10.1016/j.qref.2005.04.004

Cited by 12 publications

(4 citation statements)

References 32 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The latter is often proxied by the number of headlines arriving on Bloomberg or Reuters screens. For examples of the one-stage approach, see Taylor ( 1998 and, Gau and Hua (2007), DeGennaro and Shrieves (1997) and Melvin and Yin (2000). 9 See Mandelbrot (1963) for an early discussion of volatility clustering, i.e.…”

Section: Two-stage Modeling Of Returns and Volatilitymentioning

confidence: 99%

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

et al. 2009

View full text Add to dashboard Cite

This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and longer lasting than those on prices. Yet the process of information absorption tends to be more drawn out than in mature bond markets. International and regional macroeconomic news is at least as important as local news for both asset valuations and volatility dynamics in external emerging bond markets. JEL Classification Numbers: E44, G14

show abstract

Section: Two-stage Modeling Of Returns and Volatilitymentioning

confidence: 99%

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

et al. 2009

View full text Add to dashboard Cite

show abstract

“…Nevertheless, the sample datasets in the majority of these were confined to major currencies, and generally ignored interactions between major and minor currencies. In addition, in the majority of studies examining the volatility dynamics that utilized various frequencies, samples were limited to either single or a small number of currencies (Seemann et al, 2011 ; Gau & Hua, 2007 ; Melvin & Melvin, 2003 ). Contrarily, Baklaci et al ( 2020 ) try to identify the impact of stock market trading on currency market volatility spillovers while taking interactions between major and minor currencies into consideration and analyzing the diversity of findings regarding to different sampling frequencies.…”

Section: Introductionmentioning

confidence: 99%

Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

Baklaci

Yelkenci

2022

Eurasian Econ Rev

View full text Add to dashboard Cite

This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.

show abstract

“…By intraday week (IDW) means trade occurring every day during regular business hours for whole week. The recent advancement in the literature is either limited to the day of the week effect (Berument et al , 2007; Dacorogna et al , 1993; Ke et al , 2007; McCulloch, 1986; McFarland et al , 1982) or within the day effect known as intraday effect (Baillie and Bollerslev, 1991; Breedon and Ranaldo, 2013; Dunis et al , 2013; Gau and Hua, 2007; Khademalomoom and Narayan, 2019). However, there is a very little effort made related to IDW effect (Khademalomoom and Narayan, 2019).…”

Section: Introductionmentioning

confidence: 99%

Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders

Ahmed

Sohaib

Maqsood

et al. 2021

JCEFTS

View full text Add to dashboard Cite

Purpose The purpose of this study is to determine if intraday week (IDW) effect of the currencies reflect leverage and asymmetric impact in currencies market. The study data set comprises of intraday patterns of 15 currencies from developed and emerging economies. Design methodology approach The study applies the exponential generalized autoregressive conditional heteroscedasticity (E-GARCH) model technique to observe the IDW leverage and asymmetric effect after introducing hourly dummies variables, namely, IDWmon, IDWwed, IDWfrid and IDWfrid-mon. Findings The study results favor the propositions and confirm that IDW effect do exist in the international forex markets in relation to hourly trading pattern for respective currencies. Mostly, currencies do depreciate on Monday and Wednesday compared to the rest of the days. However, on the last trading day, i.e. Friday currencies observe an appreciation pattern which is for both economies. The results have an evidence of leverage and asymmetric effect confirmed by the E-GARCH model as a result of press releases and influence by micro-factors in the currency markets. Practical implications The study believes to have theoretical connection related to the better understanding of currencies trend for developed and emerging economies, as the IDW effect exists. Moreover, confirmation of both the leverage and asymmetric effect in observed currencies would be able to assist the investors in making rational choices during the trading hours and would confirm considerable profits through profit incentivized strategies. Originality value The study not only add knowledge to the previous study work in relation to the hourly trading pattern of currencies with reference to the IDW effects but also highlights the leverage and asymmetric effect in currencies that will help in formulating future trading strategies particular to emerging economies.

show abstract

Intraday exchange rate volatility: ARCH, news and seasonality effects

Cited by 12 publications

References 32 publications

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets

Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

Do intraday week effect in currencies hourly trading reflect leverage and asymmetric anomalies? Policy implications for traders

Contact Info

Product

Resources

About