Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
Recent 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.
Volume (Year): 28 (2009)
Issue (Month): 6 ()
|Contact details of provider:|| Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966|
When requesting a correction, please mention this item's handle: RePEc:jof:jforec:v:28:y:2009:i:6:p:465-486. See general 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.