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Optimal modelling frequency for foreign exchange volatility forecasting

For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns.
Year of publication:
2009
Authors: Hooper, Vincent ; Reeves, Jonathan ; Xie, Xuan
Published in:
Applied Financial Economics. - Taylor & Francis Journals, ISSN 0960-3107. - Vol. 19.2009, 14, p. 1159-1162
Publisher: Taylor & Francis Journals
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Type of publication: Article
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