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Forecasting daily exchange rate volatility using intraday returns

โœ Scribed by Martin Martens

Book ID
117427657
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
121 KB
Volume
20
Category
Article
ISSN
0261-5606

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## Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for do