The Message in Daily Exchange Rates
用正式检验确认每日汇率数据存在单位根，发现对数一阶差分近似不相关，并用GARCH模型刻画尖峰厚尾和时变条件异方差，六种货币结果相似，且这些特征随采样间隔拉长而减弱。
Formal testing procedures confirm the presence of a unit root in the autoregressive ploynomial of the univariate time series representation of daily exchange-rate data. the first differences of the logarithms of daily spot rates are approximately uncorrelated through time, and a generalized autoregressive conditional heteroscedasticity model with daily dummy variables and conditionally t-distributed errors is found to provide a good representation to the leptokurtosis and time-dependant conditional heteroscedasticity. The parameter estimates and characteristics of the models are found to be very similar for six different currencies. these apparent stylized facts carry over to weekly, fortnightly, and monthly data in which the degree of leptokurtosis and time-dependant heteroscedasticity is reduced as the length of the sampling interval increases.