利用高频数据分析外汇市场的异质行为和波动传导

R. Lamouchi, R. K. Shira
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摘要

摘要本文利用2004年1月至2014年10月期间五种汇率(欧元/美元、欧元/日元、欧元/瑞士法郎、欧元/英镑和欧元/澳元)的高频数据,研究了外汇市场波动传导的动态。我们应用了一个多元HAR模型,其中给定汇率的每日实现波动率取决于其自身的滞后和其他汇率的滞后实现波动率。此外,该模型能够识别短期、中期和长期的传播效应。我们还发现,在外汇市场上,特别是在市场不确定的时期,汇率之间的波动传导在统计上具有显著意义。JEL分类号:C5、F31、G15。关键词:外汇市场,已实现波动率,高频数据,波动率传输,HAR模型,dc - garch
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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