Intra-Day and Inter-Market Volatility in Foreign Exchange Rates
利用1986年六个月的每小时外汇即期汇率数据，建立季节性GARCH模型，发现各货币的波动率小时模式高度相似，且与全球主要市场的开闭有关；稳健检验未发现跨货币或跨市场的波动溢出效应。
Four foreign exchange spot rate series, recorded on an hourly basis for a six-month period in 1986 are examined. A seasonal GARCH model is developed to describe the time-dependent volatility apparent in the percentage nominal return of each currency. Hourly patterns in volatility are found to be remarkably similar across currencies and appear to be related to the opening and closing of the worlds major markets. Robust LM tests designed to deal with the extreme leptokurtosis in the data fails to uncover any evidence of misspecification or the presence of volatility spillover effects between the currencies or across markets.