Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance

Abstract

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 2010 to 2021 using several volatility periodicity filters. The returns exhibit lower daily jump probabilities. Moreover, with the Lee and Mykland (LM), Laurent-Shi (LS), and combined LH and LS jump statistics, and periodicity filters, the returns always have significantly lower jump probabilities using local robust variance with average truncated power variation,.