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Forecasting realized exchange rate volatility by decomposition

✍ Scribed by Markku Lanne

Book ID
113647913
Publisher
Elsevier Science
Year
2007
Tongue
English
Weight
851 KB
Volume
23
Category
Article
ISSN
0169-2070

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πŸ“œ SIMILAR VOLUMES

Forecasting exchange rate volatility: a
Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures
✍ David T. L. Siu; John Okunev πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 160 KB

## 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