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Media type:
E-Article
Title:
Forecasting the Currency Spot with the Trading Volume and the Trading Volume Volatility of Currency Futures in Won/Dollar FX Market
Contributor:
Chang, Kook-Hyun;
Yoon, Byung-Jo
imprint:
Emerald, 2010
Published in:Journal of Derivatives and Quantitative Studies
Language:
English
DOI:
10.1108/jdqs-03-2010-b0001
ISSN:
2713-6647
Origination:
Footnote:
Description:
<jats:p>This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model and the bivariate GARCH type BEKK model to estimate the trading volume volatility of currency futures and the volatility of currency spot, sampled daily during 1/4/2000~12/30/2009 period. According to the findings of this study, previous information contained in both trading volume and the volume volatility of Won/Dollar currency futures might be useful in explaining the future return of the currency spot.</jats:p>