Döviz piyasasında oynaklık yayılması

I analyze the volatility spillovers among the six major exchange rates vis-à-vis US Dollar (namely, Euro, British pound, Japanese yen, Swiss franc, Canadian dollar and Australian dollar) over the period from January 1, 2002 to February 28, 2009. Using exchange rate data for 5-minute intervals, I compute daily realized volatility and related daily continuous component and jump component as well as the daily range volatility as alternative measures of foreign exchange volatility. I obtain FX market volatility spillover indices from a generalized VAR (following the methodology developed by Diebold and Yilmaz, 2009, 2010) analysis. Although the spillover indices based on different volatility measures, in general, follow similar pattern over the sample period, they behave differently in certain periods. While the spillover indices fluctuate during the sample, there is an upward trend in the spillover indices in 2003-2005 and 2007-2008 periods, and during the recent financial crisis the indices stay at higher levels. In particular, I find that although the exchange rate volatilities increase tremendously during the recent financial crisis period, there was only a modest increase in volatility spillovers. Moreover, the directional volatility spillovers results suggest that the Euro/Dollar exchange rate is the net volatility transmitter over the sample period and the Japanese yen becomes net volatility transmitter in post-2006 period for all volatility measures.