Endogenous Volatility in the Foreign Exchange Market
研究了高频金融数据中异方差性的两个来源，通过马尔可夫转换结构VAR模型估计其对整体波动率的贡献，发现信息主要通过需求冲击传导至市场。
Abstract We study two sources of heteroscedasticity in high-frequency financial data and estimate their contribution to overall volatility by means of a Markov switching (MS) structural VAR model. We achieve identification for all coefficients by assuming that the structural errors follow a GARCH-DCC process. Using transaction data of the EUR/USD interdealer market in 2016, we first detect three regimesof volatility. Then we show that both sources of volatility matter for the transmission of shocks, and that information is channeled to the market mostly through demand shocks. This suggests that, on the EUR/USD market, some liquidity takers (LTs) are better informed than both liquidity providers and those LTs who follow a feedback strategy.