Intraday exchange rate volatility: ARCH, news and seasonality effects

Keyphrases

• Arching Effect 100%
• Augmented Model 50%
• Currency Exchange Rate 50%
• Exchange Rate Volatility 100%
• Explicit Time 50%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 50%
• Intraday Volatility 50%
• News Arrival 50%
• News Effect 100%
• News Releases 50%
• Public News 100%
• Seasonal Effects 100%
• Taiwan 100%
• US News 50%
• Volatility 50%
• Volume Shock 50%

Economics, Econometrics and Finance

• ARCH Model 50%
• Exchange Rate Volatility 100%
• US Dollar 50%
• Volatility 100%