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DM-Dollar Volatility : Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies

Author: Torben G Andersen; Tim Bollerslev
Publisher: Cambridge, Mass. National Bureau of Economic Research 1996.
Series: Working paper series (National Bureau of Economic Research), no. w5783.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different features are separately quantified and shown, in  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Torben G Andersen; Tim Bollerslev
OCLC Number: 1027363560
Notes: October 1996.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w5783.
Responsibility: Torben G. Andersen, Tim Bollerslev.

Abstract:

This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five-minute returns. Our modeling approach explicitly captures the pronounced intraday activity patterns, the strong macroeconomic announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different features are separately quantified and shown, in conjunction, to account for a substantial fraction of the realized return variability, both at the intradaily and daily levels. Moreover, we demonstrate how the high frequency returns, when properly modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics at the daily or lower frequencies.

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