III. The P-GARCH ModelPast studies

III. The P-GARCH Model
Past studies have found seasonality to exist in high frequency exchange rate data. To handle the seasonality in the volatility of high frequency price changes, some authors, such as Taylor and Xu (1997), Andersen and Bollerslev (1998), Melvin and Yin (2000) and Chang and Taylor (2003) deseasonalize price changes before estimating the time-varying intraday volatility. By deseasonalizing, some useful information on periodic regularity can be screened off. The generations of seasonal regularity are probably due to certain institutional factors, such as cyclical trading activities or periodic news releases in the market.

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P-GARCH Model III.Studi sebelumnya telah menemukan seasonality ada dalam data nilai tukar frekuensi tinggi. Untuk menangani seasonality volatilitas frekuensi tinggi harga perubahan, beberapa penulis, misalnya Taylor dan Xu (1997), Andersen dan Bollerslev (1998), Melvin dan Yin (2000) dan Chang dan Taylor (2003) deseasonalize perubahan harga sebelum memperkirakan waktu-berbagai intraday volatilitas. Oleh deseasonalizing, beberapa informasi yang berguna pada periodik keteraturan dapat disaring. Generasi musiman keteraturan yang mungkin karena faktor-faktor tertentu kelembagaan, seperti siklus kegiatan perdagangan atau siaran berita berkala di pasar.