High - Frequency Data and Volatility in Foreign - Exchange Rates

Exchange Rate Volatility and Foreign Capital Inflows in Nigeria (1990-2016), Cointegration, DOLS and Granger Causality Approach

The aim of this study is to examine the nexus between exchange rate volatility and foreign capital inflows in Nigeria. The results from the past empirical studies about this subject matter have been controversial, which has created a gap in the literature. The study extracted data from CBN Statistical Bulletin and UNCTAD investment report from 1990-2016. Consequently, the findings that emerged ...

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...

The Impact of News on Foreign Exchange Rates: Evidence from High Frequency Data∗

This paper investigates the impact of the frequency of general and currency-specific news headlines on de-seasonalized intraday DEM-USD exchange rate changes. We find a significant relationship between volatility and the frequency of news. In particular, more news is associated with an increase in volatility. The result that spot exchange rates are more volatile during periods for which there i...

An Analysis of Recent Studies of the Effect of Foreign Exchange Intervention

vinced that intervention is effective in changing the exchange rate.1 Recently two phenomena have advanced our understanding of intervention. The first is the use of event studies to evaluate the effects of intervention. Generically, an event study is an examination of asset price behavior associated with some event, such as a merger, announcement, or intervention. Event studies are used to ass...

Analysis of Realized Volatility in Tehran Stock Exchange using Heterogeneous Autoregressive Models Approach

Objective: The present study aims atinvestigating the behavior of realized volatility for high-frequency data of Tehran Stock Index from April28th, 2012 to August 8th, 2018. Methods: Three different types of HAR models including of HAR-RV-CJ, HAR-RV and HAR-RVJ were used to analyze the Realized Volatility. Results: The obtained results of three diverse models revealed that the estimated Reali...

The Influence of Structural Changes in Volatility on Shock Transmission and Volatility Spillover among Iranian Gold and Foreign Exchange Markets