The distribution of realized exchange rate volatility
The distribution of realized exchange rate volatility
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DOI：
10.1198/016214501750332965
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发表时间：
2001-03-01
影响因子：
3.7
通讯作者：
Labys, P
中科院分区：
文献类型：
--
作者：
Andersen, TG;Bollerslev, T;Labys, P
利用德国马克和日元兑美元收益率的高频数据，我们构建了覆盖整个十年的每日汇率波动和相关性的无模型估计。我们的估计，称为已实现的波动率和相关性，不仅是无模型的，而且在一般条件下，我们详细讨论了近似免费的测量误差。因此，为了实际的目的，我们可以将汇率波动和相关性视为观察到的而不是潜在的。我们这样做，我们描述他们的联合分布。无条件和有条件的。值得注意的结果包括一个简单的正常诱导的波动性转换，高同期相关性的波动性，相关性和波动性之间的高相关性，波动性和相关性的显着和持久的动态。证据的长期记忆动力学的波动性和相关性，以及显着精确的标度律下的时间聚集。
Using high-frequency data on deutschemark and yen returns against the dollar, we construct model-free estimates of daily exchange rate volatility and correlation that cover an entire decade. Our estimates, termed realized volatilities and correlations, are not only model-free, but also approximately free of measurement error under general conditions, which we discuss in detail. Hence, for practical purposes, we may treat the exchange rate volatilities and correlations as observed rather than latent. We do so, and we characterize their joint distribution. both unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility transformation, high contemporaneous correlation across volatilities, high correlation between correlation and volatilities, pronounced and persistent dynamics in volatilities and correlations. evidence of long-memory dynamics in volatilities and correlations, and remarkably precise scaling laws under temporal aggregation.