Realized Volatility in Seoul Foreign Exchange Market

Abstract

This paper constructs model-free estimates of daily KRW/USD's volatility, termed realized volatility, using two minutes frequency and compares the volatility with two major currencies of JPY/USD and EURO/USD. We confirm that the empirical properties of KRW/USD's realized volatility are very similar to early findings major currencies as argued by Andersen et. al(2003). Noteworthy results include the distribution of realized volatility are leptokurtic, but the distributions of logarithmic standard deviations are nearly Gaussian. We also find that the correlation between KRW/USD and major currency, JPY/USD and EURO/USD, are positive and increase with volatility.

Keywords

• Foreign Exchange Market
• Realized Volatility
• High Frequency
• Won
• Dollar