Dynamic characteristics of the daily yen–dollar exchange rate

This paper explores various dynamic properties of daily data for the yen–dollar exchange rate. This empirical study shows that quantitative information articulated with technical trading acts as market-based indicators, thus contributing to the modelling of daily fluctuations in the exchange rate. Value-at-Risk analysis is also performed to demonstrate that allowing for data properties such as skewness is essential for representing the underlying volatility of the yen–dollar rate.