Title

An Emperical Examination Of The Intraday Volatility In Euro-Dollar Rates

Keywords

Currency exchange rate; Empirical; Intraday volatility

Abstract

We examine hourly observations of one-month euro-dollar rates using the GARCH model from Baillie and Bollerslev (1990) and find an intraday volatility pattern with two important components. First, intraday volatility is largest during regular business hours in the Asian markets and smallest during regular business hours in the U.S. This result is in contrast to the previously identified intraday volatility patterns in the currency exchange rates. Second, we find volatility spikes at the beginning of the business day in Tokyo, London, and New York. Currency exchanges rates also show volatility spikes at the beginning of the business day in Tokyo, London, and New York. We interpret these results as support for the model by Hong and Wang (2000) which suggests that volatility clusters at the beginning and end of the regular business day, even in the absence of market closures, if most traders are not active during regular non-business hours. © 2003 Board of Trustees of the University of Illinois. All rights reserved.

Publication Date

1-1-2004

Publication Title

Quarterly Review of Economics and Finance

Volume

44

Issue

1

Number of Pages

44-57

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/S1062-9769(03)00002-4

Socpus ID

0347123033 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/0347123033

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