Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
975832 | Pacific-Basin Finance Journal | 2006 | 16 Pages |
Abstract
Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mingshu Hua, Yin-Feng Gau,