High-Frequency Data and Volatility in Foreign-Exchange Rates
利用逐笔外汇交易数据，提出一个能解释高频收益率负自相关性的模型，并给出高频波动率估计量，发现日度和小时波动率呈现有趣模式。
Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understanding volatility becomes extremely important in studying financial time series. Unfortunately, estimating volatility from low-frequency data, such as daily, weekly, or monthly observations, is very difficult. The recent availability of ultra-high-frequency observations, such as tick-by-tick data, to large financial institutions creates a new possibility for the analysis of volatile time series. This article uses tick-by-tick foreign-exchange rates to explore this new type of data. Unlike low-frequency data, high-frequency data have extremely high negative first-order autocorrelation in their return. In this article, I propose a model that can explain the negative autocorrelation and a volatility estimator for high-frequency data. The daily and hourly volatility estimates of exchange rate show some interesting patterns.