Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market

Mingshu Hua; Yin Feng Gau

doi:10.1016/j.pacfin.2005.06.005

Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market

Mingshu Hua, Yin Feng Gau

Department of Finance

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.

Original language	English
Pages (from-to)	193-208
Number of pages	16
Journal	Pacific Basin Finance Journal
Volume	14
Issue number	2
DOIs	https://doi.org/10.1016/j.pacfin.2005.06.005
State	Published - Apr 2006

Keywords

Central bank intervention
Inventory control
News arrivals
Periodic volatility

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title = "Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market",

abstract = "Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.",

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N2 - Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.

AB - Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.

KW - Central bank intervention

KW - Inventory control

KW - News arrivals

KW - Periodic volatility

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JF - Pacific Basin Finance Journal

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ER -

Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market

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Keywords

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