文档介绍：The Distribution of Exchange Rate Volatility*
Torben G. Andersena, Tim Bollerslevb, Francis X. Dieboldc and Paul Labysd
November 1998
This Version: November 2, 1999
Abstract
Using high-frequency data on Deutschemark and Yen returns against the dollar, we construct
model-free estimates of daily exchange rate volatility and correlation, covering an entire decade. In
addition to being model-free, our estimates are also approximately free of measurement error under general
conditions, which we delineate. Hence, for all practical purposes, we can treat the exchange rate volatilities
and correlations as observed rather than latent. We do so, and we characterize their joint distribution, both
unconditionally and conditionally. Noteworthy results include a simple normality-inducing volatility
transformation, high contemporaneous correlation across volatilities, high correlation between correlation
and volatilities, pronounced and highly persistent temporal variation in both volatilities and correlation,
clear evidence of long-memory dynamics in both volatilities and correlation, and remarkably precise scaling
laws under temporal aggregation.
Key Words: Financial Market Volatility; High-Frequency Data; Realized Volatility; Quadratic Variation;
Exchange Rates; Long-Memory.
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* This work was supported by the National Science Foundation. We are grate