The last decade has seen substantial advances in the measurement, modelling and forecasting of volatility which has centered around the realized volatility literature. To date, most of the focus has been on the daily and monthly frequencies, with little attention on longer horizons such as the...

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.

The recent advent of high-frequency data and advances in financial econometrics allow market participants to evaluate the accuracy of different beta (systematic risk) measurements. Benchmarking against the monthly realized beta formed by 30-minute data, we compare the popular Fama--MacBeth...