Managing real-time risks and returns: The Thomson Reuters NewsScope Event Indices 107Table 3.A.3.Empiricalt-distribution percentiles for 30-minute random event studies using squared
currency returns for 15 currency pairs
Currency Returns oft-statistic percentiles for random event studies
pair
90% 95% 99% 99.50% 99.90% 90% 95% 99% 99.50% 99.90%
500 events 500 events (de-seasonalized)
AUD/USD 0.70 0.89 1.25 1.38 1.61 2.71 3.48 5.07 5.38 7.31
CAD/USD 0.63 0.82 1.16 1.25 1.52 2.89 3.85 5.41 5.90 7.59
CAD/JPY 0.87 1.09 1.63 1.79 2.09 2.43 3.26 4.59 5.67 7.03
CHF/USD 0.67 0.89 1.15 1.19 1.44 3.34 4.13 5.79 6.37 6.85
EUR/USD 0.59 0.79 1.09 1.12 1.40 3.49 4.76 6.39 7.18 9.60
EUR/CAD 0.48 0.63 0.93 1.14 1.40 2.23 2.83 4.13 4.91 6.06
EUR/GBP 0.50 0.63 0.90 1.03 1.36 3.06 3.72 6.01 6.34 6.97
EUR/JPY 0.48 0.61 0.82 0.93 1.00 3.19 3.99 5.56 6.52 8.89
GBP/USD 0.70 0.95 1.31 1.41 2.12 3.23 4.13 6.06 6.45 8.67
GBP/AUD 0.80 1.01 1.45 1.57 1.77 2.45 3.11 4.44 5.12 6.69
GBP/JPY 0.66 0.89 1.23 1.35 2.27 2.69 3.49 4.66 6.05 7.20
JPY/USD 0.65 0.81 1.11 1.23 1.46 3.89 4.76 6.88 7.88 9.07
MXN/USD 0.90 1.11 1.54 1.88 2.00 3.24 4.15 6.20 6.88 7.75
NOK/USD 0.66 0.83 1.34 1.46 1.73 3.95 4.92 7.16 8.02 9.83
NZD/USD 0.70 0.88 1.21 1.41 1.65 2.77 3.63 4.86 5.33 7.44
1,000 events 1,000 events (de-seasonalized)
AUD/USD 0.61 0.78 1.15 1.33 1.73 2.47 3.33 5.08 6.02 7.23
CAD/USD 0.63 0.81 1.11 1.24 1.51 2.72 3.75 4.86 5.39 6.73
CAD/JPY 0.86 1.10 1.52 1.61 1.99 2.76 3.53 4.91 5.36 6.53
CHF/USD 0.57 0.75 1.04 1.12 1.23 3.15 3.92 5.81 6.30 7.48
EUR/USD 0.63 0.81 1.07 1.11 1.20 3.47 4.44 6.39 6.79 8.66
EUR/CAD 0.49 0.62 0.84 0.97 1.10 2.27 3.03 4.19 4.71 6.87
EUR/GBP 0.46 0.61 0.86 1.03 1.22 3.34 4.36 6.29 6.60 9.03
EUR/JPY 0.46 0.60 0.87 0.96 1.14 3.11 3.99 5.78 6.77 8.24
GBP/USD 0.67 0.84 1.25 1.29 1.71 3.07 3.96 5.58 6.10 7.95
GBP/AUD 0.80 1.03 1.42 1.57 1.67 2.60 3.32 4.54 4.89 5.43
GBP/JPY 0.64 0.82 1.26 1.40 3.00 2.57 3.47 4.75 5.31 8.70
JPY/USD 0.63 0.81 1.15 1.39 1.79 3.76 4.70 6.81 7.28 8.81
MXN/USD 0.82 1.12 1.52 1.71 1.84 2.88 3.80 6.09 6.77 8.01
NOK/USD 0.65 0.82 1.16 1.31 1.54 3.71 5.00 7.21 7.73 8.99
NZD/USD 0.71 0.89 1.26 1.41 1.56 2.69 3.50 5.04 5.34 6.02
2,500 events 2,500 events (de-seasonalized)
AUD/USD 0.64 0.88 1.19 1.33 1.76 2.83 3.60 4.70 5.07 7.19
CAD/USD 0.67 0.80 1.16 1.31 1.44 2.81 3.66 5.42 5.68 8.80
CAD/JPY 0.86 1.09 1.57 1.84 2.21 2.57 3.21 4.46 4.84 7.69
CHF/USD 0.56 0.75 1.11 1.15 1.70 3.18 3.92 5.83 6.28 8.46
EUR/USD 0.60 0.76 1.04 1.16 1.40 3.58 4.58 6.28 6.87 8.19
EUR/CAD 0.49 0.61 0.87 1.03 1.31 2.23 2.85 3.87 4.56 6.38
EUR/GBP 0.49 0.65 0.97 1.04 1.28 3.05 4.08 5.33 6.04 6.74
EUR/JPY 0.49 0.62 0.86 0.99 1.10 3.17 4.12 5.67 6.68 8.02
GBP/USD 0.69 0.88 1.35 1.55 2.04 3.35 4.36 6.56 7.04 7.94
GBP/AUD 0.77 1.02 1.44 1.74 1.78 2.34 2.97 4.16 4.64 5.76
GBP/JPY 0.68 0.87 1.16 1.25 1.47 2.31 3.01 4.28 4.92 6.87
JPY/USD 0.60 0.77 1.11 1.15 1.29 3.58 4.64 6.41 7.06 8.66
MXN/USD 0.88 1.09 1.54 1.62 1.80 2.88 3.71 5.39 6.29 9.50
NOK/USD 0.66 0.84 1.18 1.22 1.30 3.90 4.85 6.85 7.80 10.10
NZD/USD 0.67 0.83 1.21 1.54 1.58 2.68 3.47 4.91 5.25 7.89