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Volatility forecasting from multiscale and high-dimensional market data

โœ Scribed by Valeriy V. Gavrishchaka; Supriya B. Ganguli

Book ID
114296565
Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
359 KB
Volume
55
Category
Article
ISSN
0925-2312

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## Abstract In the 24โ€hr foreign exchange market, Andersen and Bollerslev measure and forecast volatility using intraday returns rather than daily returns. Trading in equity markets only occurs during part of the day, and volatility during nontrading hours may differ from the volatility during trad