EconPapers    
Economics at your fingertips  
 

Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market

Robert Engle, Takatoshi Ito () and Wen-Ling Lin

Econometrica, 1990, vol. 58, issue 3, 525-42

Abstract: This paper seeks to explain the causes of volatility clustering in exchange rates. Careful examination of intra-daily exchange rates provides a test of two hypotheses--heat waves and meteor showers. The heat wave hypothesis is that the volatility in one market is predicted only by the past of that market. The meteor shower hypothesis is that intra-daily volatility spills over from one market to the next. Using the GARCH model to specify the heteroskedasticity across intra-daily market segments, we find that the empirical evidence is generally against the null hypothesis of the heat wave. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of per-hour volatility in other markets. Copyright 1990 by The Econometric Society.

Date: 1990
References: Add references at CitEc
Citations: View citations in EconPapers (400) Track citations by RSS feed

Downloads: (external link)
http://links.jstor.org/sici?sici=0012-9682%2819900 ... O%3B2-C&origin=repec full text (application/pdf)
Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

Related works:
Working Paper: METEOR SHOWERS OR HEAT WAGES? HETEROSKEDASTIC INTRA-DAILY VOLATILITY IN A THE FOREIGN EXCHANGE MARKET (1988)
Working Paper: Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1988) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecm:emetrp:v:58:y:1990:i:3:p:525-42

Ordering information: This journal article can be ordered from
https://www.economet ... ordering-back-issues

Access Statistics for this article

Econometrica is currently edited by Daron Acemoglu

More articles in Econometrica from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing ().

 
Page updated 2019-08-11
Handle: RePEc:ecm:emetrp:v:58:y:1990:i:3:p:525-42