Deutsche mark dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies
Deutsche mark dollar volatility: Intraday activity patterns, macroeconomic announcements, and longer run dependencies
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DOI：
10.1111/0022-1082.85732
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发表时间：
1998-02-01
影响因子：
8
通讯作者：
Bollerslev, T
中科院分区：
文献类型：
--
作者：
Andersen, TG;Bollerslev, T
本文使用五分钟回报的年度样本详细描述了德国马克美元外汇市场的波动性。该方法捕捉日内活动模式、宏观经济公告以及从每日回报中获知的波动性持续性 (ARCH)。不同的特征被分别量化，并显示出在日内和每日水平上解释了收益变异性的很大一部分。还讨论了结果对解释波动过程背后的基本“驱动力”的影响。
This paper provides a detailed characterization of the volatility in the deutsche mark-dollar foreign exchange market using an annual sample of five-minute returns. The approach captures the intraday activity patterns, the macroeconomic announcements, and the volatility persistence (ARCH) known from daily returns. The different features are separately quantified and shown to account for a substantial fraction of return variability, both at the intraday and daily level. The implications of the results for the interpretation of the fundamental "driving forces" behind the volatility process is also discussed.