Intraday volatility in the Taipei FX market

研究成果: 雜誌貢獻期刊論文同行評審

9 引文 斯高帕斯(Scopus)

摘要

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.

原文???core.languages.en_GB???
頁(從 - 到)471-487
頁數17
期刊Pacific Basin Finance Journal
13
發行號4
DOIs
出版狀態已出版 - 9月 2005

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