Dunis, Christian and Kellard, Neil M and Snaith, Stuart (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance, 37 (12). pp. 4943-4957. DOI https://doi.org/10.1016/j.jbankfin.2013.08.028
Dunis, Christian and Kellard, Neil M and Snaith, Stuart (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance, 37 (12). pp. 4943-4957. DOI https://doi.org/10.1016/j.jbankfin.2013.08.028
Dunis, Christian and Kellard, Neil M and Snaith, Stuart (2013) Forecasting EUR–USD implied volatility: The case of intraday data. Journal of Banking & Finance, 37 (12). pp. 4943-4957. DOI https://doi.org/10.1016/j.jbankfin.2013.08.028
Abstract
This study models and forecasts the evolution of intraday implied volatility on an underlying EUR-USD exchange rate for a number of maturities. To our knowledge we are the first to employ high frequency data in this context. This allows the construction of forecasting models that can attempt to exploit intraday seasonalities such as overnight effects. Results show that implied volatility is predictable at shorter horizons, within a given day and across the term structure. Moreover, at the conventional daily frequency, intraday seasonality effects can be used to augment the forecasting power of models. The type of inefficiency revealed suggests potentially profitable trading models. © 2013 Elsevier B.V.
Item Type: | Article |
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Uncontrolled Keywords: | Exchange rates; Implied volatility; Intraday data; Out-of-sample prediction |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Essex Business School |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 16 Sep 2013 16:06 |
Last Modified: | 16 May 2024 16:35 |
URI: | http://repository.essex.ac.uk/id/eprint/7681 |