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Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market [An article from: Pacific-Basin Finance Journal]
Book Details
Author(s)M. Hua, Y.F. Gau
PublisherElsevier
ISBN / ASINB000RR9R5A
ISBN-13978B000RR9R50
AvailabilityAvailable for download now
Sales Rank99,999,999
MarketplaceUnited States 🇺🇸
Description
This digital document is a journal article from Pacific-Basin Finance Journal, published by Elsevier in 2006. The article is delivered in HTML format and is available in your Amazon.com Media Library immediately after purchase. You can view it with any web browser.
Description:
Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.
Description:
Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.
