Intraday and inter-market volatility of foreign exchange rates of Philippines, Indonesia and Thailand using ARCH/GARCH model, Johansen cointergration test and Granger causality

• Main Authors: Lim, Sarah Phoebe K., Recto, Ericka Francesca M., Reyes, Tanya T., Won, Hyun Jae
• Format: text
• Language: English
• Published: Animo Repository 2016
• Subjects: Foreign exchange rates > Philippines; Foreign exchange rates > Indonesia; Foreign exchange rates > Thailand
• Online Access: https://animorepository.dlsu.edu.ph/etd_bachelors/7761
• Institution: De La Salle University

This research paper mainly determines the intraday volatility of the Philippine peso, Indonesian rupiah, and Thai baht vis-a-vis the U.S. dollar. In line with his, this paper also prove the reasons and causes behind the intraday volatility by showing the level of currency volatility, trends in curre...