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This paper tries to empirically investigate whether the information contained in trading volume, volume volatility of Won/Dollar currency futures may be statistically useful in forecasting currency spot return. This paper uses both the jump-diffusion GARCH model and the bivariate GARCH type BEKK model to estimate the trading volume volatility of currency futures and the volatility of currency spot, sampled daily during 1/4/2000~12/30/2009 period. According to the findings of this study, previous information contained in both trading volume and the volume volatility of Won/Dollar currency futures might be useful in explaining the future return of the currency spot.
© 2010 Emerald Publishing Limited
2010
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