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.
Original language | English |
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Pages (from-to) | 263-266 |
Number of pages | 4 |
Journal | Applied Economics Letters |
Volume | 11 |
Issue number | 4 |
DOIs | |
State | Published - 15 Mar 2004 |