Big players and the Russian ruble: Explaining volatility dynamics

This paper uses the theory of Big Players to explain changes in the GARCH behavior ofRuble exchange rates. The unique dataset employed connects the existence of a Big Player monetary official with increased market volatility. Not only does the unconditional variance of the Ruble exchange rate increase during the interventionist official’s tenure, but so does the persistence component ofthe conditional variance. The results ofthis paper lead us to believe that the existence ofBig Players in asset markets may, in some instances, explain some of the changes in volatility dynamics observed in financial markets.