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Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model

Author

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  • Wu, Xinyu
  • Xie, Haibin
  • Zhang, Huanming

Abstract

In this paper, we investigate the relation between time-varying risk aversion and renminbi exchange rate volatility using the conditional autoregressive range-mixed-data sampling (CARR-MIDAS) model. The CARR-MIDAS model is a range-based volatility model, which exploits intraday information regarding the intraday trajectory of the price. Moreover, the model features a MIDAS structure allowing for time-varying risk aversion to drive the long-run volatility dynamics. Our empirical results show that time-varying risk aversion has a significantly negative effect on the long-run volatility of renminbi exchange rate. Moreover, we observe that both intraday ranges and time-varying risk aversion contain important information for forecasting renminbi exchange rate volatility. The range-based CARR-MIDAS model incorporating time-varying risk aversion provides more accurate out-of-sample forecasts of renminbi exchange rate volatility compared to a variety of competing models, including the return-based GARCH, GARCH-MIDAS and GARCH-MIDAS incorporating time-varying risk aversion as well as range-based CARR, CARR-MIDAS and heterogeneous autoregressive (HAR), for forecast horizons of 1 day up to 3 months. This result is robust to alternative risk aversion measure, alternative MIDAS lags as well as alternative out-of-sample periods. Overall, our findings highlight the value of incorporating intraday information and time-varying risk aversion for forecasting the renminbi exchange rate volatility.

Suggested Citation

  • Wu, Xinyu & Xie, Haibin & Zhang, Huanming, 2022. "Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
    • Handle: RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559
    DOI: 10.1016/j.najef.2022.101703
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    More about this item

    Keywords

    Time-varying risk aversion; Intraday range; Renminbi exchange rate volatility; CARR-MIDAS; Forecasting;
    All these keywords.

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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