Optimal modelling frequency for foreign exchange volatility forecasting
Optimal modelling frequency for foreign exchange volatility forecasting
About this item
Full title
Optimal modelling frequency for foreign exchange volatility forecasting
Author / Creator
Publisher
Routledge
Journal title
Applied financial economics, 2009-07, Vol.19 (14), p.1159-1162
Language
English
Formats
Publication information
Publisher
Routledge
Subjects
More information
Scope and Contents
Contents
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.
Alternative Titles
Full title
Optimal modelling frequency for foreign exchange volatility forecasting
Authors, Artists and Contributors
Author / Creator
Identifiers
Primary Identifiers
Record Identifier
TN_cdi_crossref_citationtrail_10_1080_09603100802360016
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_crossref_citationtrail_10_1080_09603100802360016
Other Identifiers
ISSN
0960-3107
E-ISSN
1466-4305
DOI
10.1080/09603100802360016
