Is ARCH Useful in High Frequency Foreign Exchange Applications?
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منابع مشابه
Estimating High Frequency Foreign Exchange Rate Volatility with Nonparametric ARCH Models
High frequency foreign exchange rate (HFFX) series are analyzed on an operational time scale using models of the ARCH class. Comparison of the estimated conditional variances focuses on the asymmetry and persistence issue. Estimation results for para-metric models connrm standard results for HFFX series, namely high persistence and no signiicance of the asymmetry coeecient in an EGARCH model. T...
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