Intraday Seasonality in EUR/SEK Returns
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.
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