Volume 27 Issue 4 (October-December 2011)

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Forecasting exchange rate volatility using high-frequency data: Is the euro different?

Chortareas, G. , Jiang, Y. , Nankervis, John.C.
Pages 1089-1107
Abstract

We assess the performances of alternative procedures for forecasting the daily volatility of the euro's bilateral exchange rates using 15 min data. We use realized volatility and traditional time series volatility models. Our results indicate that using high-frequency data and considering their long memory dimension enhances the performance of volatility forecasts significantly. We find that the intraday FIGARCH model and the ARFIMA model outperform other traditional models for all exchange rate series.

Keywords: Euro exchange rates , Volatility forecasting , High-frequency data , GARCH model , Long memory time series , Forecast evaluation
FULL TEXT LINK
http://dx.doi.org/10.1016/j.ijforecast.2010.07.003
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