Realized Volatility in Seoul Foreign Exchange Market

Autor:	Chae-Shick Chung, Sang Young Joo, Seung Moon Lee
Jazyk:	angličtina
Rok vydání:	2003
Předmět:	Foreign Exchange Market Realized Volatility High Frequency Won Dollar Economics as a science HB71-74
Zdroj:	East Asian Economic Review, Vol 7, Iss 2, Pp 55-77 (2003)
Druh dokumentu:	article
ISSN:	2508-1640 2508-1667
DOI:	10.11644/KIEP.JEAI.2003.7.2.107
Popis:	This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD. We confirm that the empirical properties of KRW/USD's realized volatility are very similar to early findings major currencies as argued by Andersen et. al(2003). Noteworthy results include the distribution of realized volatility are leptokurtic, but the distributions of logarithmic standard deviations are nearly Gaussian. We also find that the correlation between KRW/USD and major currency, JPY/USD and EURO/USD, are positive and increase with volatility.
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8a4b6492515d47bebd5b64011a9d0679 Zobrazit plný text záznamu View record in DOAJ