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عنوان فارسی مقاله:
نقض ناگهانی در برآوردگر نوسانات رانش مستقل بر اساس دوره های متعدد باز، بالا، پایین، و قیمت نزدیک
عنوان انگلیسی مقاله:
Sudden breaks in drift-independent volatility estimator based on multiple periods open, high, low, and close prices
سال انتشار : 2016
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بخشی از مقاله انگلیسی:
Empirical application
It is clear from the Monte Carlo simulation experiments that the YZ estimator performs better than the demeaned squared returns in detecting changes in unconditional volatility when applied with the IT-ICSS test. Now, to examine how the YZ estimator performs on data against the demeaned squared returns in detecting sudden changes in volatility, daily data of three widely traded exchange rates—USD/Euro, USD/ Japanese Yen and USD/GBP—is used. All data have been obtained from the Bloomberg database. The period of study for USD/Euro is from April 1999 to February 2013 (3631 observations), and for USD/Japanese Yen and USD/GBP it is from January 1989 to February 2013 (6301 observations each). The sample period for each exchange rate starts from the date when the open, high, low, and close prices are available. Fig. 1 reports the volatility regimes associated with the YZ estimator (left column) and the demeaned squared returns (right column) based on the IT-ICSS algorithm. Table 8 reports the break points detected in the YZ estimator using the IT-ICSS algorithm (also see left column of Fig. 1). Six break points are detected in the USD/Euro and the USD/GBP exchange rates and eight break points are detected in the USD/Japanese yen exchange rates. This indicates the presence of (n + 1) distinct volatility regimes in the time series of the YZ estimator, where n represents the number of break points in the unconditional variance. The time points of the sudden breaks in the YZ estimator series of the exchange rates are associated with various macroeconomic events. In September 1992, under the impact of speculative currency trades related to pounds, the British government withdrew the pound from the European Exchange Rate Mechanism as the British government was not able to keep the value of a pound above the agreed upon lower limit. This incident, known as Black Wednesday, impacted trade in pounds till the end of 1993. The impact of the Mexican peso crisis in 1994–1995 was not limited to Mexico alone, but also impacted the US dollar exchange rates relative to various other exchange rates, which can be seen in USD/Japanese yen exchange rates. The impact of the Asian financial crisis, which hit many Asian markets such as Thailand, Indonesia, South Korea, Philippines, and other Asian countries, also adversely impacted the USD/Japanese yen exchange rates. In 1997–98, the devaluation of the Russian ruble relative to the US dollar also impacted other US dollar exchange rates. Under the impact of the dot-com bubble by the end of 1999, many markets around the globe experienced sudden changes in volatility, which also affected the volatility of various exchange rates during the period of 2000. In addition, the dot-com bubble burst adversely impacted the major Asian markets which also affected the Japanese yen exchange rates. The terrorist attack of 11 September 2001 in the US affected the global markets severely and resulted in the collapse of major global markets, thereby affecting the US dollar exchange rates.
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کلمات کلیدی:
PDF]Drift Independent Volatility Estimation Based on High, Low, Open and ... ftp://ftp.ams.sunysb.edu/papers/2000/susb00_25.pdf by D Yang - Cited by 326 - Related articles We present a new volatility estimator based on multiple periods of high, low, open .... This estimator is independent of the drift μ and the opening jump f , and is ... Sudden Breaks in Drift-Independent Volatility Estimator Based on ... www.iimb.ac.in/node/13111 Apr 11, 2016 - Home > Sudden Breaks in Drift-Independent Volatility Estimator Based on Multiple Periods Open, High, Low, and Close Prices ... Drift Independent Volatility Estimation Based on High, Low, Open, and ... https://papers.ssrn.com/sol3/papers.cfm?abstract_id=229190. by D Yang - Cited by 322 - Related articles Sep 19, 2000 - We present a new volatility estimator based on multiple periods of high, low, open, and close prices in a historical time series. The new ... Drift Independent Volatility Estimation Based on High, Low, Open and ... https://www.researchgate.net/.../2463973_Drift_Independent_Volatility_Estimation_Bas... We present a new volatility estimator based on multiple periods of high, low, open, and close prices in a historical time series. The new estimator has the ...
