Realized FX Volatility : Statistical Properties and Applications

다국어 초록 (Multilingual Abstract)

This paper empirically examines the statistical properties of realized volatility and the relationships between volatility and correlation measurements of realized volatility by using intraday high-frequency foreign exchange (FX) rates. Results regarding the distributional and dynamic properties of realized volatility are in agreement with the findings of previous studies. However, the positive correlation present in previous studies is not found in the case of JPY. On trading days with low volatility in the FX market, realized correlation coefficients between JPY and other currencies have positive values, while realized correlation coefficients on trading days with high volatility show negative values. These results are due to the Japanese government's intervention in the FX market, particularly during trading days with high volatility. In this regard, our results suggest that the positive relationships between volatility and correlations verified in previous studies are not a general phenomenon in the case of government intervention and government intervention may distort the efficiency of the FX market. In addition, we show that the multivariate measurement of realized volatility based on intraday high-frequency data can be a useful tool for determining the occurrence of external intervention in the FX market.

참고문헌 (Reference)

1 Hattori, M., "Yen Carry Trade and the Subprime Crisis" 56 (56): 384-409, 2009

2 Schwert, G. W., "Why does Stock Market Volatility Change Over Time?" 44 : 115-1153, 1989

3 Mandelbrot, B. B., "The Variation of Certain Speculative Prices" 36 : 394-419, 1963

4 Black, F., "The Pricing of Options and Corporate Liabilities" 81 (81): 637-654, 1973

5 Watanabe, T., "The Great Intervention and Massive Money Injection : The Japanese Experience 2003~2004" 2011

6 Andersen, T. G., "The Distribution of Realized Stock Return Volatility" 61 : 43-76, 2001

7 Andersen, T. G., "The Distribution of Realized Exchange Rate Volatility" 96 : 42-55, 2001

8 Fama, E., "The Behaviour of Stock Market Prices" 38 : 34-105, 1965

9 Rosenblatt, M., "Remarks on Some Nonparametric Estimates of a Density Function" 27 : 832-837, 1956

10 Markowitz, H., "Portfolio Selection" 7 (7): 77-91, 1952

11 Ljung, G. M., "On a Measure of a Lack of Fit in Time Series Models" 65 : 297-303, 1978

12 Andersen, T. G., "Modeling and Forecasting Realized Volatility" 71 : 579-625, 2003

13 Bank of Japan, "Introduction of the Quantitative and Qualitative Monetary Easing"

14 Bollerslev, T., "Generalized Autoregressive Conditional Heteroskedasticity" 31 : 307-327, 1986

15 French, K. R., "Expected Stock Returns and Volatility" 19 : 3-29, 1987

16 Cont, R., "Empirical Properties of Asset Returns : Stylized Facts and Statistical Issues" 1 : 223-236, 2001

17 Barndorff-Nielsen, O. E., "Econometric analysis of realized volatility and its use in estimating stochastic volatility models" 64 : 253-280, 2002

18 Sharpe, W. F., "Capital Asset Prices : A Theory of Market Equilibrium under Conditions of Risk" 19 (19): 425-442, 1964

19 Engle, R. F., "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation" 50 : 987-1008, 1982

20 Andersen, T. G., "Answering the Skeptics : YES, Standard Volatility Models do Provide Accurate Forecasts" 39 (39): 885-905, 1998

21 Chaboud, A. P., "An Assessment of the Impact of Japanese Foreign Exchange Intervention : 1991~2004" 2005