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Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models

Author

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  • Darmoul Mokhtar

    (CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

  • Nizar Harrathi

    (LEGI - Laboratoire d'Économie et de Gestion Industrielle [Tunis] - Ecole Polytechnique de Tunisie - UCAR - Université de Carthage (Tunisie))

Abstract

In this article, we examine the intradaily Euro-dollar exchange rate volatility persistence result from the dissymmetric impact of monetary policy signals stemming from the ECB Council and the FOMC. A model is constructed by extending the AR(1)-GARCH (1,1) to an exponential process EGARCH (1,1), using high-frequency data (five minutes frequency) which integrates a polynomials structure depending on signal variables, starting from the deseasonalized exchange rate returns series. It is found that, unlike the equity market, the best volatility predictions are derived from the EGARCH(1,1) process.

Suggested Citation

  • Darmoul Mokhtar & Nizar Harrathi, 2007. "Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00174996, HAL.
    • Handle: RePEc:hal:cesptp:halshs-00174996
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00174996
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    Cited by:

    1. Sayo Ayodeji, 2015. "Modeling Asymmetric Effect in African Currency Markets: Evidence from Kenya," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 4(3), pages 1-2.

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    More about this item

    Keywords

    Exchange rate; official intervention; monetary policy; GARCH models; Taux de change; interventions officielles; politique monétaire; modèles GARCH;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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