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Intraday exchange rate volatility: ARCH, news and seasonality effects

✍ Scribed by Yin-Feng Gau; Mingshu Hua

Book ID
113871522
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
602 KB
Volume
47
Category
Article
ISSN
1062-9769

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## Abstract We explore the determinants of intraday volatility in interest‐rate and foreign‐exchange markets, focusing on the importance and interaction of three types of information in predicting intraday volatility: (a) knowledge of recent past volatilities (i.e., ARCH or Autoregressive Condition