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Forecasting daily exchange rate volatility using intraday returns

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  • Martens, Martin
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 20 (2001)
    Issue (Month): 1 (February)
    Pages: 1-23

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    Handle: RePEc:eee:jimfin:v:20:y:2001:i:1:p:1-23

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    Web page: http://www.elsevier.com/locate/inca/30443

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    1. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
    2. Daniel B. Nelson & Dean P. Foster, 1992. "Filtering and Forecasting with Misspecified Arch Models II: Making the Right Forecast with the Wrong Model," NBER Technical Working Papers 0132, National Bureau of Economic Research, Inc.
    3. Drost, F.C. & Nijman, T.E., 1993. "Temporal aggregation of GARCH processes," Open Access publications from Tilburg University urn:nbn:nl:ui:12-153273, Tilburg University.
    4. Taylor, Stephen J. & Xu, Xinzhong, 1997. "The incremental volatility information in one million foreign exchange quotations," Journal of Empirical Finance, Elsevier, Elsevier, vol. 4(4), pages 317-340, December.
    5. Nelson, Daniel B., 1992. "Filtering and forecasting with misspecified ARCH models I : Getting the right variance with the wrong model," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 61-90.
    6. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    7. Lumsdaine, Robin L, 1995. "Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 13(1), pages 1-10, January.
    8. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
    9. Bessembinder, Hendrik & Seguin, Paul J., 1993. "Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(01), pages 21-39, March.
    10. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-43, September.
    11. Drost, Feike C. & Werker, Bas J. M., 1996. "Closing the GARCH gap: Continuous time GARCH modeling," Journal of Econometrics, Elsevier, vol. 74(1), pages 31-57, September.
    12. Taylor, Stephen J., 1987. "Forecasting the volatility of currency exchange rates," International Journal of Forecasting, Elsevier, vol. 3(1), pages 159-170.
    13. Beckers, Stan, 1983. "Variances of Security Price Returns Based on High, Low, and Closing Prices," The Journal of Business, University of Chicago Press, vol. 56(1), pages 97-112, January.
    14. Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-81.
    15. Laux, Paul A. & Ng, Lilian K., 1993. "The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(5), pages 543-560, October.
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    Cited by:
    1. Siem Jan Koopman & Borus Jungbacker & Eugenie Hol, 2004. "Forecasting Daily Variability of the S&P 100 Stock Index using Historical, Realised and Implied Volatility Measurements," Tinbergen Institute Discussion Papers 04-016/4, Tinbergen Institute.
    2. Isao Ishida & Toshiaki Watanabe, 2009. "Modeling and Forecasting the Volatility of the Nikkei 225 Realized Volatility Using the ARFIMA-GARCH Model," CARF F-Series, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo CARF-F-145, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    3. GIOT, Pierre & LAURENT, Sébastien, . "Modelling daily Value-at-Risk using realized volatility and ARCH type models," CORE Discussion Papers RP -1708, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    4. Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
    5. Eugenie Hol & Siem Jan Koopman & Borus Jungbacker, 2004. "Forecasting daily variability of the S\&P 100 stock index using historical, realised and implied volatility measurements," Computing in Economics and Finance 2004, Society for Computational Economics 342, Society for Computational Economics.
    6. Ané, Thierry & Ureche-Rangau, Loredana & Gambet, Jean-Benoît & Bouverot, Julien, 2008. "Robust outlier detection for Asia-Pacific stock index returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(4), pages 326-343, October.
    7. Chortareas, Georgios & Jiang, Ying & Nankervis, John. C., 2011. "Forecasting exchange rate volatility using high-frequency data: Is the euro different?," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1089-1107, October.
    8. Barucci, Emilio & Reno, Roberto, 2002. "On measuring volatility and the GARCH forecasting performance," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(3), pages 183-200, July.
    9. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
    10. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
    11. Chu, Carlin C.F. & Lam, K.P., 2011. "Modeling intraday volatility: A new consideration," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 388-418, July.
    12. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2001-49, Board of Governors of the Federal Reserve System (U.S.).
    13. Lien, Donald & Yang, Li, 2005. "Availability and settlement of individual stock futures and options expiration-day effects: evidence from high-frequency data," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 45(4-5), pages 730-747, September.
    14. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    15. Ané, Thierry & Métais, Carole, 2009. "The distribution of realized variances: Marginal behaviors, asymmetric dependence and contagion effects," International Review of Financial Analysis, Elsevier, vol. 18(3), pages 134-150, June.
    16. Jui-Cheng Hung & Ren-Xi Ni & Matthew C. Chang, 2009. "The Information Contents of VIX Index and Range-based Volatility on Volatility Forecasting Performance of S&P 500," Economics Bulletin, AccessEcon, vol. 29(4), pages 2592-2604.

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