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<p>This study analyzes the realized volatility and discrete jump volatility of Korean won–U.S. dollar exchange rate returns using high-frequency five-minute returns from June 1, 2010, to April 30, 2021, and several volatility periodicity filters. To capture the extremely volatility and high jumps, this study utilizes the maximum outlying statistics with the intraday Gumbel distribution and periodicity filters, the returns exhibit lower daily jump probabilities without periodicity filters. Moreover, to obtain robust estimates for both finite and infinite exchange rate jumps, this study uses the Lee and Mykland, Lee–Hannig, Laurent–Shi, and combined Lee–Hannig and Laurent–Shi jump statistics with periodicity filters such as MAD, ShortH, and WSD. Then, the returns seem to have significantly lower jump probabilities using the average truncated power variation and the median variance. However, if the periodicity filters of volatility are not considered, the jump probabilities may be overestimated.</p>

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Nonparametric Realized Volatility and Jumps in High Frequency Foreign Exchange Rates with a Gumbel Distribution

  • 期刊论文

  • 发表日期：

    2025年12月4日

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  • Chae-Deug Yi

摘要

This study analyzes the realized volatility and discrete jump volatility of Korean won–U.S. dollar exchange rate returns using high-frequency five-minute returns from June 1, 2010, to April 30, 2021, and several volatility periodicity filters. To capture the extremely volatility and high jumps, this study utilizes the maximum outlying statistics with the intraday Gumbel distribution and periodicity filters, the returns exhibit lower daily jump probabilities without periodicity filters. Moreover, to obtain robust estimates for both finite and infinite exchange rate jumps, this study uses the Lee and Mykland, Lee–Hannig, Laurent–Shi, and combined Lee–Hannig and Laurent–Shi jump statistics with periodicity filters such as MAD, ShortH, and WSD. Then, the returns seem to have significantly lower jump probabilities using the average truncated power variation and the median variance. However, if the periodicity filters of volatility are not considered, the jump probabilities may be overestimated.