Extreme volatility dependence in exchange rates

Volatility in Foreign Exchange Rates

Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worl...

Welfare and excess volatility of exchange rates

Foreign Exchange Rates Have Surprising Volatility

Local Polynomial Estimation (LPE) is implemented on a dataset of high-frequency foreign exchange (FX) quotes. This nonparametric technique is meant to provide a exible background against which to evaluate parametric time series models. Assuming a conditionally heteroscedastic nonlinear autoregressive (CHARN) model, estimates of the mean and volatility functions are reported. The mean function d...

High - Frequency Data and Volatility in Foreign - Exchange Rates

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Capital controls and the volatility of South African exchange rates