Post by Jonathan J Reeves on Sept 7, 2010 9:39:23 GMT 4
Optimal Modelling Frequency for Foreign Exchange Volatility Forecasting
Jonathan J. Reeves
University of New South Wales (UNSW) - School of Banking and Finance
Vincent J. Hooper
University of New South Wales (UNSW) - School of Banking and Finance
Xuan Xie
University of New South Wales (UNSW) - School of Banking and Finance
Applied Financial Economics, Vol. 19, No. 14, 2009
Abstract:
For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1663666
Jonathan J. Reeves
University of New South Wales (UNSW) - School of Banking and Finance
Vincent J. Hooper
University of New South Wales (UNSW) - School of Banking and Finance
Xuan Xie
University of New South Wales (UNSW) - School of Banking and Finance
Applied Financial Economics, Vol. 19, No. 14, 2009
Abstract:
For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns.
papers.ssrn.com/sol3/papers.cfm?abstract_id=1663666