Intraday volatility in the Taipei FX market

Yin Feng Gau

doi:10.1016/j.pacfin.2004.12.002

Intraday volatility in the Taipei FX market

Yin Feng Gau

Department of Finance

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

9 Scopus citations

Abstract

This paper characterizes the volatility in the Taipei foreign exchange (FX) market based on a 4-year sample of 15-minute NTD (New Taiwan dollar)/USD exchange rates from 1996 through 1999. To identify the pattern of intraday volatility in NTD/USD exchange rate changes, the impacts of scheduled macroeconomic news releases in Taiwan and the U.S. are considered. In this paper, the periodic GARCH (P-GARCH) model and the dummy variable approach are combined together to capture the more complicated periodic structure of the intraday volatility in the NTD/USD exchange rate changes. The estimation results suggest that the doubly U-shaped pattern in the Taipei FX market, associated with separate morning and afternoon sessions due to a 2-hour lunch break, can only be partly explained by the scheduled news announcements.

Original language	English
Pages (from-to)	471-487
Number of pages	17
Journal	Pacific Basin Finance Journal
Volume	13
Issue number	4
DOIs	https://doi.org/10.1016/j.pacfin.2004.12.002
State	Published - Sep 2005

Keywords

Intraday volatility
Macroeconomic announcements
Periodic GARCH

Access to Document

10.1016/j.pacfin.2004.12.002

Cite this

@article{a8128d9caaaa4af6a3babf76b9400160,

title = "Intraday volatility in the Taipei FX market",

abstract = "This paper characterizes the volatility in the Taipei foreign exchange (FX) market based on a 4-year sample of 15-minute NTD (New Taiwan dollar)/USD exchange rates from 1996 through 1999. To identify the pattern of intraday volatility in NTD/USD exchange rate changes, the impacts of scheduled macroeconomic news releases in Taiwan and the U.S. are considered. In this paper, the periodic GARCH (P-GARCH) model and the dummy variable approach are combined together to capture the more complicated periodic structure of the intraday volatility in the NTD/USD exchange rate changes. The estimation results suggest that the doubly U-shaped pattern in the Taipei FX market, associated with separate morning and afternoon sessions due to a 2-hour lunch break, can only be partly explained by the scheduled news announcements.",

keywords = "Intraday volatility, Macroeconomic announcements, Periodic GARCH",

author = "Gau, {Yin Feng}",

year = "2005",

month = sep,

doi = "10.1016/j.pacfin.2004.12.002",

language = "???core.languages.en_GB???",

volume = "13",

pages = "471--487",

journal = "Pacific Basin Finance Journal",

issn = "0927-538X",

number = "4",

}

TY - JOUR

T1 - Intraday volatility in the Taipei FX market

AU - Gau, Yin Feng

PY - 2005/9

Y1 - 2005/9

N2 - This paper characterizes the volatility in the Taipei foreign exchange (FX) market based on a 4-year sample of 15-minute NTD (New Taiwan dollar)/USD exchange rates from 1996 through 1999. To identify the pattern of intraday volatility in NTD/USD exchange rate changes, the impacts of scheduled macroeconomic news releases in Taiwan and the U.S. are considered. In this paper, the periodic GARCH (P-GARCH) model and the dummy variable approach are combined together to capture the more complicated periodic structure of the intraday volatility in the NTD/USD exchange rate changes. The estimation results suggest that the doubly U-shaped pattern in the Taipei FX market, associated with separate morning and afternoon sessions due to a 2-hour lunch break, can only be partly explained by the scheduled news announcements.

AB - This paper characterizes the volatility in the Taipei foreign exchange (FX) market based on a 4-year sample of 15-minute NTD (New Taiwan dollar)/USD exchange rates from 1996 through 1999. To identify the pattern of intraday volatility in NTD/USD exchange rate changes, the impacts of scheduled macroeconomic news releases in Taiwan and the U.S. are considered. In this paper, the periodic GARCH (P-GARCH) model and the dummy variable approach are combined together to capture the more complicated periodic structure of the intraday volatility in the NTD/USD exchange rate changes. The estimation results suggest that the doubly U-shaped pattern in the Taipei FX market, associated with separate morning and afternoon sessions due to a 2-hour lunch break, can only be partly explained by the scheduled news announcements.

KW - Intraday volatility

KW - Macroeconomic announcements

KW - Periodic GARCH

UR - http://www.scopus.com/inward/record.url?scp=23244438131&partnerID=8YFLogxK

U2 - 10.1016/j.pacfin.2004.12.002

DO - 10.1016/j.pacfin.2004.12.002

M3 - 期刊論文

AN - SCOPUS:23244438131

SN - 0927-538X

VL - 13

SP - 471

EP - 487

JO - Pacific Basin Finance Journal

JF - Pacific Basin Finance Journal

IS - 4

ER -

Intraday volatility in the Taipei FX market

Abstract

Keywords

Access to Document

Fingerprint

Cite this