The Japan Yen Foreign Exchange Volatility Redux; A Dual Relationship

Chionis, D. P., McDonald, R.
European Research Studies Journal, Volume II, Issue 1-4, 3-14, 1999
EOI: 10.11214/thalassinos.02.01.001

Abstract:

This paper investigates the relationship between real volume data and volatility of the JY/USD exchange rate. We decompose the real volume data in expected and unexpected volume in order to investigate the time series properties and the unexpected/ volume-volatility relationship. There are a number of interesting implications arising from the empirical finding of this work. It seems that the real volume data have different behaviour and the time series properties compared with the wide used proxy of future volume data.


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