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

Chortareas, Georgios E and Jiang, Ying and Nankervis, John C (2011) 'Forecasting exchange rate volatility using high-frequency data: Is the euro different?' International Journal of Forecasting, 27 (4). pp. 1089-1107. ISSN 0169-2070

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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.

Item Type: Article
Uncontrolled Keywords: Euro exchange rates; Volatility forecasting; High-frequency data; GARCH model; Long memory time series; Forecast evaluation
Subjects: H Social Sciences > HG Finance
Divisions: Faculty of Social Sciences > Essex Business School
Depositing User: Jim Jamieson
Date Deposited: 18 Dec 2012 15:02
Last Modified: 18 Dec 2012 15:02

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