The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries …. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … almost all countries except Thailand witnessed non-existence of volatility shocks at least once in a three year pre …

This article identifies the best models for forecasting the volatility of daily exchange returns of developing …

Many researchers use GARCH models to generate volatility forecasts. We show, however, that such forecasts are too … variable. To correct for this, we extend the GARCH model by distinguishing two regimes with different volatility levels. GARCH … terms only. The empirical application on U.S. dollar exchange rates shows that our model indeed yields better volatility …

Regular or automated processes require reliable software applications that provide accurate volatility and Value …

Purpose. We address the problem of forecasting USD/CHF volatility at the beginning of the COVID-19 crisis. We chose … employed several volatility models, including APARCH, EGARCH, GJR-GARCH, TGARCH, and GARCH-MIDAS, on high-frequency USD …/CHF data. Particular emphasis was placed on asymmetric models to capture volatility asymmetry. Findings. The highest volatility …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …

This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …, where the actual value is taken to be the realized volatility measured using intra-day observations …

In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …