Exchange rate volatility, macro announcements and the choice of intraday sasonality filtering method

Arbeitspapier

Filtering intraday seasonality in volatility is crucial for using high frequency data in econometric analysis. This paper studies the effects of filtering on statistical inference concerning the impact of news on exchange rate volatility. The properties of different methods are studied using a 5-minute frequency USD/EUR data set and simulated returns. The simulation results suggest that all the methods tend to produce downward-biased estimates of news coefficients, some more than others. The study supports the Flexible Fourier Form method as the best for seasonality filtering.

Object Details

• ISBN: 978-952-462-395-7
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Bank of Finland Research Discussion Papers ; No. 23/2007

Classification and Topics

• Classification: Wirtschaft ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Econometric and Statistical Methods: Special Topics: Other ; Model Evaluation, Validation, and Selection ; Financial Markets and the Macroeconomy
• Subject: high-frequency ; volatility ; macro announcements ; seasonality

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Laakkonen, Helinä
• Event: Veröffentlichung
• (who): Bank of Finland
• (where): Helsinki
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/212081
• Last update: 10.03.2025, 11:42 AM CET