An emperical examination of the intraday volatility in euro-dollar rates

Ken B. Cyree, Mark D. Griffiths, Drew B. Winters

Research output: Contribution to journalArticle

9 Scopus citations

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.

Original languageEnglish
Pages (from-to)44-57
Number of pages14
JournalQuarterly Review of Economics and Finance
Volume44
Issue number1
DOIs
StatePublished - Feb 2004

Keywords

  • Currency exchange rate
  • Empirical
  • Intraday volatility

Fingerprint Dive into the research topics of 'An emperical examination of the intraday volatility in euro-dollar rates'. Together they form a unique fingerprint.

Cite this