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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.

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realized volatility of won dollar exchange rate

Realized Volatility of Won-Dollar Exchange Rate

Lee, Seung Moon

Economics, Rutgers University

12 / 10 /2006

motivation
Motivation
  • Taking a growing interest in Risk Management.
  • Measuring of realized volatility of won-dollar exchange rate.
slide3
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
Measurement
  • w: won/dollar, y: yen/dollar
result 3
Result 3
  • lstdw is not distributed normally unlike BADL(2001)
result 4
Result 4
  • lstdw, lstdy, and covwy do not have a unit root even if they have long-memory.
extention
Extention
  • Applying to VaR (Kuester, Mittnik, and Paolella; 2006).
  • Forecasting realized volatility (ABDL;2000).