A NOTE ON INTRADAY FOREIGN-EXCHANGE VOLATILITY AND THE INFORMATIONAL ROLE OF QUOTE ARRIVALS

被引：1
作者：
TAKEZAWA, N
机构：
[1] Graduate School of International Management, International University of Japan, Niigata, 949-72, Yamato-machi
来源：
ECONOMICS LETTERS | 1995年 / 48卷 / 3-4期
关键词：
FOREIGN EXCHANGE RATES; GARCH; VOLATILITY;
D O I：
10.1016/0165-1765(94)00626-D
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The conditional variance for five different hourly foreign exchange rates is modeled using a GARCH model with the number of incoming quotes as a regressor in the conditional variance equation. We find that the number of quotes is positively and significantly related to the volatility of all rates examined. The empirical findings support the conjecture of a time-consuming information process.
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页码：399 / 404
页数：6
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