51
Views
11
CrossRef citations to date
0
Altmetric
Original Articles

Public information, private information, inventory control, and volatility of intraday NTD/USD exchange rates

&
Pages 263-266 | Published online: 21 Aug 2006
 

Abstract

This study uses the periodic GARCH (P-GARCH) model of Bollerslev and Ghysels (Citation1996) to capture the irregularly repetitive seasonal variation in the volatility of 15-minute NTD/USD exchange rate changes. The specification of state variables enables us to test the microstructure hypotheses in the FX market.

Notes

1 For a detailed discussion on estimating the P-GARCH model, see Bollerslev and Ghysels (Citation1996). As discussed in Bollerslev and Ghysels (Citation1996), for large sample sizes the QMLE-based inference procedure is generally reliable.

2 To de-seasonalize returns for intraday pattern, Andersen and Bollerslev (Citation1997) advocate flexible Fourier form (FFF). Martens et al. (Citation2002) use set of multiplicative factors to model the intraday seasonality. They estimate seasonal multiplier after averaging sums of squared returns across similar time periods and then obtain a de-seasonalized return series by dividing each return by its seasonal multiplier.

3 The final model is chosen on the basis of the AIC, SIC, and MSE criteria. Because of space limitations, the results of all estimated models are not shown. They are available upon request from the authors.

Log in via your institution

Log in to Taylor & Francis Online

PDF download + Online access

  • 48 hours access to article PDF & online version
  • Article PDF can be downloaded
  • Article PDF can be printed
USD 53.00 Add to cart

Issue Purchase

  • 30 days online access to complete issue
  • Article PDFs can be downloaded
  • Article PDFs can be printed
USD 205.00 Add to cart

* Local tax will be added as applicable

Related Research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.