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Intraday periodicity, calendar and announcement effects in Euro exchange rate volatility

✍ Scribed by Kevin P. Evans; Alan E.H. Speight

Book ID
113877821
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
916 KB
Volume
24
Category
Article
ISSN
0275-5319

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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