Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc markets

Research output: Contribution to journalArticle

26 Citations (Scopus)

Abstract

To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.

Original languageEnglish
Pages (from-to)158-171
Number of pages14
JournalResearch in International Business and Finance
Volume24
Issue number2
DOIs
Publication statusPublished - 2010 Jun
Externally publishedYes

Fingerprint

Volatility spillover
Interdependence
News
Testing
Spill
Integrated
Comovement
Proportion
Return volatility
Currency
Autoregressive conditional heteroskedasticity

Keywords

  • High-frequency data
  • Information
  • Interdependence
  • VC MV-GARCH
  • Volatility spillover

ASJC Scopus subject areas

  • Business, Management and Accounting (miscellaneous)
  • Finance

Cite this

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abstract = "To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.",
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AB - To examine intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc, we employ the varying-correlation model of multivariate generalized autoregressive conditional heteroskedasticity. Our main findings are (1) return volatility in the euro spills into the pound and the Swiss franc; and (2) these markets are highly integrated with the euro, and the degree of interdependence is state-dependent: euro news has a simultaneous impact on the pound and the Swiss franc, and co-movements of these currencies and the euro become much higher in proportion to the arrival of news of the euro.

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