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Realized Volatility of Won-Dollar Exchange Rate

Realized Volatility of Won-Dollar Exchange Rate. Lee, Seung Moon Economics, Rutgers University 12 / 10 /2006. Motivation. Taking a growing interest in Risk Management. Measuring of realized volatility of won-dollar exchange rate. Data. Data period: 3/2/1999 ~ 4/30/2002.

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Realized Volatility of Won-Dollar Exchange Rate

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  1. Realized Volatility of Won-Dollar Exchange Rate Lee, Seung Moon Economics, Rutgers University 12 / 10 /2006

  2. Motivation • Taking a growing interest in Risk Management. • Measuring of realized volatility of won-dollar exchange rate.

  3. Data • Data period: 3/2/1999 ~ 4/30/2002. • Except weekend and holiday. • Total observation date: 740 days. • Observation time per day: 6 hours. (9:30~12:00 and 13:00~16:30) • Frequency: 6minute.

  4. Measurement • w: won/dollar, y: yen/dollar

  5. Result 1

  6. Result 2

  7. Result 3 • lstdw is not distributed normally unlike BADL(2001)

  8. Result 4 • lstdw, lstdy, and covwy do not have a unit root even if they have long-memory.

  9. Extention • Applying to VaR (Kuester, Mittnik, and Paolella; 2006). • Forecasting realized volatility (ABDL;2000).

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