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Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework

Author

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  • Hasan Fehmi Baklaci

    (Izmir University of Economics)

  • Tezer Yelkenci

    (Izmir University of Economics)

Abstract

This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.

Suggested Citation

  • Hasan Fehmi Baklaci & Tezer Yelkenci, 2022. "Cross-time-frequency analysis of volatility linkages in global currency markets: an extended framework," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 267-314, June.
    • Handle: RePEc:spr:eurase:v:12:y:2022:i:2:d:10.1007_s40822-022-00209-5
    DOI: 10.1007/s40822-022-00209-5
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    More about this item

    Keywords

    Volatility spillover; Exchange rates; Multivariate GARCH; Intraday data;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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