Time‐Varying Volatility in the Foreign Exchange Market: New Evidence on its Persistence and on Currency Spillovers
利用40个交易日的日内数据，通过多变量随机波动模型研究美元即期汇率波动的持续性及跨货币溢出效应，发现波动噪声成分快速消失，而持续成分主导低频数据，且跨货币溢出较小。
We examine empirically the volatility of four major US dollar spot exchange rates using intraday data over 40 trading days. Using multivariate stochastic volatility models, we investigate the degree of persistence of exchange rate volatility for data sampled at different frequencies and the role of volatility spillovers across exchange rates. We find that the noise component of volatility ‘aggregates out’ very quickly, being dominated by the more persistent component of volatility for data sampled at 15–minute or lower frequencies. Our results also suggest that exchange rate volatility is very persistent and that cross–currency spillovers are small.