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Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance

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  • YI, Chae-Deug

Abstract

This study analyzes the realized volatility and discrete jump volatility of Korean won–U.S. dollar exchange rate returns using high-frequency five-minute returns from 2010 to 2021 using several volatility periodicity filters. The returns exhibit lower daily jump probabilities. Moreover, with the Lee and Mykland (LM), Laurent-Shi (LS), and combined LH and LS jump statistics, and periodicity filters, the returns always have significantly lower jump probabilities using local robust variance with average truncated power variation,.

Suggested Citation

  • YI, Chae-Deug, 2023. "Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance," Finance Research Letters, Elsevier, vol. 55(PA).
    • Handle: RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323001940
    DOI: 10.1016/j.frl.2023.103821
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    References listed on IDEAS

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    More about this item

    Keywords

    Exchange rate; Volatility; Jump; Periodicity filter; Average truncated power variation;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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