Realized volatility of won dollar exchange rate
Download
1 / 11

Realized Volatility of Won-Dollar Exchange Rate - PowerPoint PPT Presentation


  • 323 Views
  • Updated On :

Realized Volatility of Won-Dollar Exchange Rate. Lee, Seung Moon Economics, Rutgers University 12 / 10 /2006. Motivation. Taking a growing interest in Risk Management. Measuring of realized volatility of won-dollar exchange rate. Data. Data period: 3/2/1999 ~ 4/30/2002.

loader
I am the owner, or an agent authorized to act on behalf of the owner, of the copyrighted work described.
capcha
Download Presentation

PowerPoint Slideshow about 'Realized Volatility of Won-Dollar Exchange Rate' - Angelica


An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -
Presentation Transcript
Realized volatility of won dollar exchange rate l.jpg

Realized Volatility of Won-Dollar Exchange Rate

Lee, Seung Moon

Economics, Rutgers University

12 / 10 /2006


Motivation l.jpg
Motivation

  • Taking a growing interest in Risk Management.

  • Measuring of realized volatility of won-dollar exchange rate.


Slide3 l.jpg
Data

  • Data period: 3/2/1999 ~ 4/30/2002.

  • Except weekend and holiday.

  • Total observation date: 740 days.

  • Observation time per day: 6 hours.

    (9:30~12:00 and 13:00~16:30)

  • Frequency: 6minute.


Measurement l.jpg
Measurement

  • w: won/dollar, y: yen/dollar




Result 3 l.jpg
Result 3

  • lstdw is not distributed normally unlike BADL(2001)


Result 4 l.jpg
Result 4

  • lstdw, lstdy, and covwy do not have a unit root even if they have long-memory.


Extention l.jpg
Extention

  • Applying to VaR (Kuester, Mittnik, and Paolella; 2006).

  • Forecasting realized volatility (ABDL;2000).


ad