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 |
Saved in:
Saved in favorites
Similar items by person
-
Optimal modelling frequency for foreign exchange volatility forecasting
Hooper, Vincent, (2009)
-
Optimal modelling frequency for foreign exchange volatility forecasting
Hooper, Vincent, (2009)
-
Irfan, Muhammad, (2020)
- More ...