본문 바로가기 주메뉴 바로가기
kiep logo

Contents

Citation

Citation
No Title

Article View

East Asian Economic Review Vol. 7, No. 2, 2003. pp. 55-77.

DOI https://dx.doi.org/10.11644/KIEP.JEAI.2003.7.2.107

Number of citation : 0

View
2071

Download
457

crossmark images crossmark images
PDF PPT Twitter Facebook

Realized Volatility in Seoul Foreign Exchange Market

Author

Chae-Shick Chung

Sogang University

cschung@sogang.ac.kr

Sang Young Joo

Konkuk University

joosy@konkuk.ac.kr

Seung Moon Lee

The Bank of Korea

crazy_ape@lycos.co.kr
Creative Commons Attribution License

EAER is an open access journal distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license.

Abstract

This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD. We confirm that the empirical properties of KRW/USD's realized volatility are very similar to early findings major currencies as argued by Andersen et. al(2003). Noteworthy results include the distribution of realized volatility are leptokurtic, but the distributions of logarithmic standard deviations are nearly Gaussian. We also find that the correlation between KRW/USD and major currency, JPY/USD and EURO/USD, are positive and increase with volatility.

JEL classification: F31, F32

Keywords

Foreign Exchange Market, Realized Volatility, High Frequency, Won, Dollar

Language

Korean

References

  1. Park, H. S. and W. C. Jang. 1999. The Microstructure Approach to the Won-Dollar Exchange Rate: An Empirical. Korea Institute of Finance. (In Korean)
  2. Chung, C. S. 2000. “An Analysis of Won/Dollar Exchange Rate Using Semi - nonparametric Method,” Kukje Kyungje Yongu, vol. 6, no. 1, pp. 23-42. (In Korean)
  3. Chung, C. S. and Y. M. Jang. 2000. “Analysis of Changes in the Relationship between the KRW/USD Exchange rate and JPY/USD Exchange Rate Before and After the Economic Crisis,” Journal of East Asian Economic Integration, vol. 4, no. 1, pp. 65-97. (In Korean)
  4. Hahn, S. B. and H. T. Kim. 2002. “A Volatility Analysis of KOSDAQ Composite Index and Venture Index,” Kyong Je Hak Yon Gu, vol. 50, no. 1. pp. 117-143. (In Korean)
  5. Andersen, T. and T. Bollerslev. 1998. "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts," International Economic Review, vol. 39, no. 4, pp. 885-905.
  6. Andersen, T. G., Bollerslev T. and F. X. Diebold. 2002. "Parametric and Nonparametric Volatility Measurement," NBER Technical Working Paper 0279.
  7. Andersen, T. G., Bollerslev, T., Diebold, F. X. and H. Ebens. 2001. "The Distribution of Realized Stock Return Volatility," Journal of Financial Economics, vol. 61, no. 1, pp. 43-76.
  8. Andersen, T., Bollerslev, G. T., Diebold, F. X. and P. Labys. 2000. "Exchange Rate Returns Standardized by Realized Volatility are (Nearly) Gaussian," Multinational Finance Journal, vol. 4, pp. 159-179.
  9. Andersen, T. G., Bollerslev, T., Diebold, F. X. and P. Labys. 2001a. "The Distribution of Realized Exchange Rate Volatility," Journal of the American Statistical Association, vol. 96, no. 453, pp. 42-55. CrossRef
  10. Andersen, T. G. 2001b. "Modeling and Forecasting Realized Volatility," NBER Working Paper no. 8160.
  11. Barndorff-Nielsen, O. E. and N. Shephard. 1998. Aggregation and Model Construction for Volatility Models. Manuscript. Oxford: Department of Mathematical Sciences, University of Aarhus, and Nuffield College.
  12. Bollen, B. and B. Inder. 1999. Ex Post, Unconditional Estimators of Daily Volatility. Manuscript. Department of Econometrics, Monash University.
  13. Diebold, F. X., Gunther, T. and A. S. Tay. 1998. "Evalutating Density Forecasts, With Applications to Financial Risk Management," International Economic Review, vol. 39, no. 4, pp. 863-883.
  14. Ding, Z., Granger, C. W. J. and R. F. Engle. 1993. "A Long Memory Property of Stock Market Returns and a New Model," Journal of Empirical Finance, vol. 1, no. 1, pp. 83-106. CrossRef
  15. Drost, F. C. and B. J. M. Werker. 1996. "Closing the GARCH Gap, Continuous Time GARCH Modeling," Journal of Econometrics, vol. 74, no. 1, pp. 31-57. CrossRef
  16. Duan, J. C. 1997. "Augmented GARCH(p,q) Process and Its Diffusion Limit," Journal of Econometrics, vol. 79, no. 1, pp. 97-127.
  17. Engle, R. F. 1982. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation," Econometrica, vol. 50, no. 4, pp. 987-1007.
  18. French, K. R., Schwert, G. W. and R. F. Stambaugh. 1987. "Expected Stock Returns and Volatility," Journal of Financial Economics, vol. 19, no. 1, pp. 3-29. CrossRef
  19. Fung, W. K. H. and D. A. Hsieh. 1991. Empirical Analysis of Implied Volatility: Stocks, Bonds and Currencies. Manuscript. Fuqua School of Business, Duke University.
  20. Granger, C. W. J. and F. Marmol. 1997. The Correlogram of a Long Memory Process Plus a Simple Noise. Manuscript. San Diego: Department of Economics, University of California.
  21. Hsieh, D. A. 1991. "Chaos and Nonlinar Dynamics, Application to Financial Markets," Journal of Finance, vol. 46, no. 5, pp. 1839-1877.
  22. Karatsas, I. and S. E. Shreve. 1998. Brownian Motion and Stochastic Calculus. New York: Springer Verlag.
  23. Mele, A. and F. Fornari. 2000. Stochastic Volatility in Financial Markets: Crossing the Bridge to Continuous Time. Boston: Kluwer Academic Publishers.
  24. Merton, R. C. 1980. "On Estimating the Expected Return on the Market, An Exploratory Investigation," Journal of Financial Economics, vol. 8, no. 4, pp. 323-361. CrossRef
  25. Officer, R. R. 1973. "The Variability of the Market Factor of the NYSE," Journal of Business, vol. 46, no. 3, pp. 434-453.
  26. Porterba, J. M. and L. H. Summers. 1988. "Mean Reversion in Stock Prices, Evidence and Implications," Journal of Financial Economics, vol. 22, no. 1, pp. 27-59.
  27. Schwert, G. W. 1989. "Why does Stock Market Volatility Change over Time?," Journal of Finance, vol. 44, no. 5, pp. 1115-1153. CrossRef
  28. Schwert, G. W. 1990a. "Stock Volatility and the Crash of '87," Review of Financial Studies, vol. 3, pp. 77-102.
  29. Schwert, G. W. 1990b. "Stock Market Volatility," Financial Analysts Journal, vol. 46, no. 3, pp. 23-34. (May-june) CrossRef