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Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method

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  • Helin� Laakkonen

Abstract

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

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  • Helin� Laakkonen, 2014. "Exchange rate volatility, macroeconomic announcements and the choice of intraday periodicity filtering method," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2093-2104, December.
    • Handle: RePEc:taf:quantf:v:14:y:2014:i:12:p:2093-2104
    DOI: 10.1080/14697688.2012.739727
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    Cited by:

    1. Henryk Gurgul & Robert Syrek, 2017. "Trading volume and volatility patterns across selected Central European stock markets from microstructural perspective," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(1), pages 87-102.
    2. 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.
    3. Ayadi, Mohamed A. & Ben Omrane, Walid & Wang, Jiayu & Welch, Robert, 2022. "Senior official speech attributes and foreign exchange risk around business cycles," International Review of Financial Analysis, Elsevier, vol. 80(C).

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