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Estimating daily seasonality in foreign exchange rate changes

✍ Scribed by Laurence S. Copeland; Peijie Wang

Publisher
John Wiley and Sons
Year
1994
Tongue
English
Weight
558 KB
Volume
13
Category
Article
ISSN
0277-6693

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✦ Synopsis

Combining time-and frequency-domain analysis demonstrates considerable improvement in modelling seasonal patterns in daily exchange rate changes. A high-pass filter in the frequency domain is used, followed by the usual time-domain analysis with GARCH models, to estimate day-of-the-week effects in the spot returns on five exchanges against US dollars and the results are seen to compare favourably with those from a pure time-domain GARCH approach.

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