Exchange Rate Volatility: Korean Won versus Euro in 2000's
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초록
This paper analyzes the recent realized continuous volatility and discrete jump volatility of Korean Won/Euro returns using the high frequency five minute. The realized rate of returns, realized variation and realized bipower variation appear the characteristics of non-normal distributions which have the volatility clustering effects. The volatility appeared appreciably large in years 2005 during world and EU financial crises. The ghost effect and cluster effect occurred also in the jumps of Korean Won/Euro returns during 2001-2010. The empirical results show that many large jumps appeared especially right before and after 2005 and 2009 and the realized variations had the extremely large and discrete jumps. The jump statistics show that the realized five minute Korean Won/Euro returns have the jump probability that there is at least one significant jump per 2 days in using the tripower quarticity and quadpower quarticity during year 2001 through 2010 at common critical levels. Thus, the jump component is important in explaining Korean Won/Euro returns during this volatile period from year 2001 through 2010.
Abstract
This paper analyzes the recent realized continuous volatility and discrete jump volatility of Korean Won/Euro returns using the high frequency five minute. The realized rate of returns, realized variation and realized bipower variation appear the characteristics of non-normal distributions which have the volatility clustering effects. The volatility appeared appreciably large in years 2005 during world and EU financial crises. The ghost effect and cluster effect occurred also in the jumps of Korean Won/Euro returns during 2001-2010. The empirical results show that many large jumps appeared especially right before and after 2005 and 2009 and the realized variations had the extremely large and discrete jumps. The jump statistics show that the realized five minute Korean Won/Euro returns have the jump probability that there is at least one significant jump per 2 days in using the tripower quarticity and quadpower quarticity during year 2001 through 2010 at common critical levels. Thus, the jump component is important in explaining Korean Won/Euro returns during this volatile period from year 2001 through 2010.
참고문헌 (15)
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