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Using the periodic GARCH (P-GARCH) model, this paper investigates the cause of the volatility seasonality of intraday Taiwan dollar/U.S. dollar (NTD/USD) exchange rate. We study the intraday volatility of NTD/USD exchange rate by considering impacts from public news arrivals, inventory risk and central bank interventions. The estimation results indicate that news arrivals at the market open may induce...
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