TY - JOUR
T1 - Intraday exchange rate volatility
T2 - ARCH, news and seasonality effects
AU - Gau, Yin Feng
AU - Hua, Mingshu
PY - 2007/3
Y1 - 2007/3
N2 - This paper examines how the calendar seasonality in terms of intraday New Taiwan dollar/U.S. dollar (NTD/USD) exchange rate volatility is impacted by public news arrivals and the unexpected volume shocks. Incorporating counts of Taiwan and the U.S news releases, unexpected volume of trading, and explicit time-of-day seasonality into the framework of GARCH model, we find that the pronounced periodicity of intraday volatility can be partly captured by the augmented model, whereas the spikes of volatility at the market closing and at the opening of the afternoon trading session are not successfully explained by time-of-day factors, public news, unexpected volume of trading, and lagged squared return innovations.
AB - This paper examines how the calendar seasonality in terms of intraday New Taiwan dollar/U.S. dollar (NTD/USD) exchange rate volatility is impacted by public news arrivals and the unexpected volume shocks. Incorporating counts of Taiwan and the U.S news releases, unexpected volume of trading, and explicit time-of-day seasonality into the framework of GARCH model, we find that the pronounced periodicity of intraday volatility can be partly captured by the augmented model, whereas the spikes of volatility at the market closing and at the opening of the afternoon trading session are not successfully explained by time-of-day factors, public news, unexpected volume of trading, and lagged squared return innovations.
KW - GARCH
KW - Intraday volatility
KW - Public news arrivals
KW - Trading volume
UR - http://www.scopus.com/inward/record.url?scp=33846540173&partnerID=8YFLogxK
U2 - 10.1016/j.qref.2005.04.004
DO - 10.1016/j.qref.2005.04.004
M3 - 期刊論文
AN - SCOPUS:33846540173
SN - 1062-9769
VL - 47
SP - 135
EP - 158
JO - Quarterly Review of Economics and Finance
JF - Quarterly Review of Economics and Finance
IS - 1
ER -