Volume and volatility in foreign exchange market microstructure: a Markov switching approach

Autor:	Rim Khemiri
Rok vydání:	2012
Předmět:	Economics and Econometrics Heteroscedasticity Markov chain Autoregressive model Autoregressive conditional heteroskedasticity Forward volatility Econometrics Economics Market microstructure Volatility (finance) Mathematical economics Foreign exchange market Finance
Zdroj:	Applied Financial Economics. 22:1121-1133
ISSN:	1466-4305 0960-3107
Popis:	This article has two aims. First, I revisit Khemiri (2009) and I find support to Lyons (1995) seminal dealer level specification with a still richer picture of the conditional volatility dynamics. For this reason, I develop an estimation procedure for a variety of Generalized Autoregressive Conditional Heteroscedasticity (GARCH) and Markov Switching Exponential GARCH (MSGARCH) models which provide a richer modelling of volatility dynamics and I find that the Markov Switching Exponential GARCH (MSEGARCH) model fits the intraday data better. In addition, the second aim of this article is to study the relationship between trading volume and volatility in the Foreign Exchange (FX) market microstructure by using a Markov switching approach that captures asymmetry and regime shifts in the Lyons (1995) dataset. In this context, the empirical results support the Mixture of Distribution Hypothesis (MDH) where I find a new result showing that that there is a positive correlation between volume and volatility of the...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::e4b529a081bf8e50ff1fba83c1046573 https://doi.org/10.1080/09603107.2011.629979 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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