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

Darmoul Mokhtar and Nizar Harrathi
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Darmoul Mokhtar: Centre d'Economie de la Sorbonne
Nizar Harrathi: LEGI - Ecole Polytechnique de Tunis

Documents de travail du Centre d'Economie de la Sorbonne from Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne

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

Keywords: Exchange rate; official intervention; monetary policy; GARCH models (search for similar items in EconPapers)
JEL-codes: C22 E52 F31 G15 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2007-06
New Economics Papers: this item is included in nep-ifn, nep-mac, nep-mon and nep-mst
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models (2007)
Working Paper: Monetary information arrivals and intraday exchange rate volatility: a comparison of the GARCH and the EGARCH models (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:mse:cesdoc:bla07035

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