{"title":"利用高频数据分析外汇市场的异质行为和波动传导","authors":"R. Lamouchi, R. K. Shira","doi":"10.47260/jafb/1333","DOIUrl":null,"url":null,"abstract":"Abstract\n\nThis paper examines the dynamics of volatility transmission in the forex market using high-frequency data for five exchange rates (EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP and EUR/AUD) from January 2004 to October 2014. We apply a multivariate HAR model in which the daily realized volatility of a given exchange rate depends on both its own lags and the lagged realized volatilities of the other exchange rates. Furthermore, this model is able to identify short-term, medium-term, and long-term transmission effects. We also find evidence of statistically significant volatility transmission between exchange rates in the forex market, especially during periods marked by market uncertainty.\n\nJEL classification numbers: C5, F31, G15.\nKeywords: Foreign exchange markets, Realized volatility, High-frequency data, Volatility transmission, HAR model, DCC-GARCH.","PeriodicalId":330012,"journal":{"name":"Journal of Applied Finance & Banking","volume":"45 13 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-03-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data\",\"authors\":\"R. Lamouchi, R. K. Shira\",\"doi\":\"10.47260/jafb/1333\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Abstract\\n\\nThis paper examines the dynamics of volatility transmission in the forex market using high-frequency data for five exchange rates (EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP and EUR/AUD) from January 2004 to October 2014. We apply a multivariate HAR model in which the daily realized volatility of a given exchange rate depends on both its own lags and the lagged realized volatilities of the other exchange rates. Furthermore, this model is able to identify short-term, medium-term, and long-term transmission effects. We also find evidence of statistically significant volatility transmission between exchange rates in the forex market, especially during periods marked by market uncertainty.\\n\\nJEL classification numbers: C5, F31, G15.\\nKeywords: Foreign exchange markets, Realized volatility, High-frequency data, Volatility transmission, HAR model, DCC-GARCH.\",\"PeriodicalId\":330012,\"journal\":{\"name\":\"Journal of Applied Finance & Banking\",\"volume\":\"45 13 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-03-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Applied Finance & Banking\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.47260/jafb/1333\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied Finance & Banking","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.47260/jafb/1333","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Heterogeneous Behavior and Volatility Transmission in the Forex Market using High-Frequency Data
Abstract
This paper examines the dynamics of volatility transmission in the forex market using high-frequency data for five exchange rates (EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP and EUR/AUD) from January 2004 to October 2014. We apply a multivariate HAR model in which the daily realized volatility of a given exchange rate depends on both its own lags and the lagged realized volatilities of the other exchange rates. Furthermore, this model is able to identify short-term, medium-term, and long-term transmission effects. We also find evidence of statistically significant volatility transmission between exchange rates in the forex market, especially during periods marked by market uncertainty.
JEL classification numbers: C5, F31, G15.
Keywords: Foreign exchange markets, Realized volatility, High-frequency data, Volatility transmission, HAR model, DCC-GARCH.