Intraday Seasonality in EUR/SEK Returns
(2020) NEKN02 20201Department of Economics
- Abstract
- In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. The results reveal no significant intraday seasonality in the EUR/SEK spot return and therefore we can conclude that no seasonality exist in the filtered returns.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9013814
- author
- Johansson, Albin LU and Kull Tinnerholm, Johan LU
- supervisor
- organization
- course
- NEKN02 20201
- year
- 2020
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Seasonality, intraday returns, intraday volatility, foreign exchange, Flexible Fourier Form
- language
- English
- id
- 9013814
- date added to LUP
- 2020-08-29 11:18:08
- date last changed
- 2020-08-29 11:18:08
@misc{9013814, abstract = {{In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. The results reveal no significant intraday seasonality in the EUR/SEK spot return and therefore we can conclude that no seasonality exist in the filtered returns.}}, author = {{Johansson, Albin and Kull Tinnerholm, Johan}}, language = {{eng}}, note = {{Student Paper}}, title = {{Intraday Seasonality in EUR/SEK Returns}}, year = {{2020}}, }