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
London: Routledge, Taylor & Francis Group
Journal title
Applied financial economics, 2009-07, Vol.19 (14), p.1
Language
English
Formats
Publication information
Publisher
London: Routledge, Taylor & Francis Group
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. [PUBLICATION ABSTRACT]
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_proquest_journals_197183016
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_197183016
Other Identifiers
ISSN
0960-3107
E-ISSN
1466-4305
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