Monetary information arrivals and intraday exchange rate volatility : a comparison of the GARCH and the EGARCH models
Conference Paper
, Darmoul Mokhtar and Nizar Harrathi . 2007
نوع عمل المنشور:
Working Paper
رابط المنشور على الويب:
تاريخ المؤتمر:
الاثنين, شباط (فبراير) 10, 2014
المنظمة الراعية:
' Centre d'Economie de la Sorbonne - Université Paris 1 Panthéon-Sorbonne
مستخلص المنشور:
In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process