Volatility and Z-Type Jumps of Euro Exchange Rates Using Outlying Weighted Quarticity Statistics in the 2010s

• 발행기관: 한국무역학회
• 저자명: Chae-Deug Yi
• 간행물 정보: 『Journal of Korea Trade (JKT)』Vol.23 No.2, 110~126쪽, 전체 17쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.04.30

영문 초록

Purpose - This paper examines the recently realized continuous volatility and discrete jumps of US Dollar/Euro returns using the frequency of five minute returns spanning the period from February 2010 through February 2018with periodicity filters. Design/Methodology - This paper adopts the nonparametric estimation. The realized volatility and Realized Outlying Weighted variations show non-Gaussian, fat-tailed, and leptokurtic distributions. Some significant volatility jumps in returns occurred from 2010 through 2018, and the very exceptionally large and irregular jumps occurred around 2010-2011, after the EU financial crisis, and 2015-2016. The outliers occurred somewhat frequently around the years of 2015 and 2016. Originality/value - When we include periodicity filters of volatility such as MAD, Short Half Scale, and WSD, the five minute returns of US Dollar/Euro exchange rates have smaller daily jump probabilities by 20-30% than when we do not include the periodicity filters of volatility. Thus, when we consider the periodicity filters of volatility such as MAD, Short Half Scale, and WSD, the five minute returns of US Dollar/Euro have considerably smaller jump probabilities.

목차

1. Introduction

2. Literature Review

3. Measurement of Realized Volatility and Jumps

4. Empirical Results

5. Conclusion

키워드

Euro Exchange Rate Periodicity Filter Volatility Z-Type Jump Statistic