Determinants of periodic volatility of intraday exchange rates in the Taipei FX Market |
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| Institution: | 1. Asia and Pacific Department, International Monetary Fund, 700 19th Street, N.W., Washington, DC, USA;2. International Department, Bank of Korea, 39 Namdaemun-Ro, Jung-Gu, Seoul, Republic of Korea;3. Department of International Business & Trade, Kyung Hee University, 26 Kyungheedae-ro, Dongdaemun-gu, Seoul 02447, Republic of Korea;1. Department of Accounting, Banking and Financial Sciences, College of Business Administration and Economics, Al-Hussein Bin Talal University, PO Box (20), Ma''an, 71111, Jordan;2. School of Business, University of the Sunshine Coast, Maroochydore DC, QLD 4558, Australia |
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| Abstract: | Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce traders to adjust their inventory position and result in higher NTD/USD volatility on days with reported central bank interventions. |
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