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Forecasting exchange rate volatility

✍ Scribed by Jon Vilasuso

Book ID: 117332257
Publisher: Elsevier Science
Year: 2002
Tongue: English
Weight: 45 KB
Volume: 76
Category: Article
ISSN: 0165-1765
DOI: 10.1016/s0165-1765(02)00036-8

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## Abstract 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 lo