広島大学経済学研究 Issue 25
published_at 2008-02-28

Intervention of the Bank of Japan in Foreign Exchange Market and Its Effects on Volatility of Returns

Lu Xinhong
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ECOST_25_81.pdf
Abstract
In this article, we perform several tests to determine whether the intervention of the Bank of Japan has an asymmetric effect through GARCH type models. Furthermore, we use realized volatility calculated by high-frequency exchange rate data to check the adequacy of the estimated volatility from GARCH type models.
Keywords
Intervention
Realized volatility
GARCH type models
High-frequency exchange rate data