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Optimal modelling frequency for foreign exchange volatility forecasting

✍ Scribed by Hooper, Vincent J.; Reeves, Jonathan J.; Xie, Xuan


Book ID
126629197
Publisher
Taylor and Francis Group
Year
2009
Tongue
English
Weight
176 KB
Volume
19
Category
Article
ISSN
0960-3107

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Optimal sampling frequency for volatilit
✍ Malay Bhattacharyya; Dileep Kumar M; Ramesh Kumar πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 192 KB

## Abstract This paper evaluates the performance of conditional variance models using high‐frequency data of the National Stock Index (S&P CNX NIFTY) and attempts to determine the optimal sampling frequency for the best daily volatility forecast. A linear combination of the realized volatilities ca