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

財務金融學系

研究成果: 雜誌貢獻 › 期刊論文 › 同行評審

5 引文斯高帕斯（Scopus）

摘要

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.

原文	???core.languages.en_GB???
頁（從 - 到）	193-208
頁數	16
期刊	Pacific Basin Finance Journal
卷	14
發行號	2
DOIs	https://doi.org/10.1016/j.pacfin.2005.06.005
出版狀態	已出版 - 4月 2006

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10.1016/j.pacfin.2005.06.005

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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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JO - Pacific Basin Finance Journal

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

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