We use realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate. Realized volatility is a technical innovation that allows specifying a system of equations for returns, realized volatility, and interventions without endogeneity bias. We find that...

The population value of the R 2 is derived from the Mincer-Zarnowitz volatility forecast regression for a QGARCH(1,1). The study shows that the population R 2 exceeds that of the standard GARCH(1,1). This indicates that accounting for asymmetry in the conditional variance process can increase...

We use realized volatility to study the influence of Japanese central bank interventions on the yen-to-dollar exchange rate. A system of equations for returns, logarithmic realized volatility, and interventions provides a comprehensive view on the problem without endogeneity bias, unlike earlier...

There is considerable evidence that GARCH models do not forecast financial volatility well out of sample when evaluated by the R2 from the Mincer and Zarnowitz (1969) regression. Andersen and Bollerslev (1998) argued that although the R2s tend to be small, they are consistent with the population...