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High-Frequency Data and Volatility in Foreign-Exchange Rates

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  • Zhou, Bin

Abstract

This article uses tick-by-tick foreign exchange rates to explore the feature of high frequency financial data. In this article, the author proposes a model that explains the negative autocorrelation of high frequency financial time series. The empirical results indicate that the heavy tail of financial time series is mostly caused by the heteroscedasticity of the time series. The estimates of intraday volatility reveal a strong seasonal patter across all currencies.

Suggested Citation

  • Zhou, Bin, 1996. "High-Frequency Data and Volatility in Foreign-Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(1), pages 45-52, January.
    • Handle: RePEc:bes:jnlbes:v:14:y:1996:i:1:p:45-52
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