Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance

Chae-Deug Yi

Finance Research Letters, 2023, vol. 55, issue PA

Abstract: This study analyzes the realized volatility and discrete jump volatility of Korean won–U.S. dollar exchange rate returns using high-frequency five-minute returns from 2010 to 2021 using several volatility periodicity filters. The returns exhibit lower daily jump probabilities. Moreover, with the Lee and Mykland (LM), Laurent-Shi (LS), and combined LH and LS jump statistics, and periodicity filters, the returns always have significantly lower jump probabilities using local robust variance with average truncated power variation,.

Keywords: Exchange rate; Volatility; Jump; Periodicity filter; Average truncated power variation (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:55:y:2023:i:pa:s1544612323001940

DOI: 10.1016/j.frl.2023.103821

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