Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
AbstractRecent studies suggest realized volatility provides forecasts that are as good as option-implied volatilities, with improvement stemming from the use of high-frequency data instead of a long-memory specification. This paper examines whether volatility persistence can be captured by a longer dataset consisting of over 15 years of intra-day data. Volatility forecasts are evaluated using four exchange rates (AUD|USD, EUR|USD, GBP|USD, USD|JPY) over horizons ranging from 1 day to 3 months, using an expanded set of short-range and long-range dependence models. The empirical results provide additional evidence that significant incremental information is found in historical forecasts, beyond the implied volatility information for all forecast horizons. Copyright © 2008 John Wiley & Sons, Ltd.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 28 (2009)
Issue (Month): 6 ()
Contact details of provider:
Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
If references are entirely missing, you can add them using this form.