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

Hasan Fehmi Baklaci () and Tezer Yelkenci ()
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Hasan Fehmi Baklaci: Izmir University of Economics
Tezer Yelkenci: Izmir University of Economics

Eurasian Economic Review, 2022, vol. 12, issue 2, No 4, 267-314

Abstract: 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.

Keywords: Volatility spillover; Exchange rates; Multivariate GARCH; Intraday data (search for similar items in EconPapers)
JEL-codes: G11 G13 G15 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40822-022-00209-5

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