FX Market Volatility Modelling: Can we use low-frequency data?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00118769" target="_blank" >RIV/00216224:14560/21:00118769 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S1544612320315907#" target="_blank" >https://www.sciencedirect.com/science/article/pii/S1544612320315907#</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.frl.2020.101776" target="_blank" >10.1016/j.frl.2020.101776</a>

Result language
angličtina
Original language name
FX Market Volatility Modelling: Can we use low-frequency data?
Original language description
High-frequency data tend to be costly, subject to microstructure noise, difficult to manage, and lead to high computational costs. Is it always worth the extra effort? We compare the forecasting accuracy of low- and high-frequency volatility models on the market of six major foreign exchange market (FX) pairs. Our results indicate that for short-forecast horizons, high-frequency models dominate their low-frequency counterparts, particularly in periods of increased volatility. With an increased forecast horizon, low-frequency volatility models become competitive, suggesting that if high-frequency data are not available, low-frequency data can be used to estimate and predict long-term volatility in FX markets.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50206 - Finance

Project
<a href="/en/project/GA18-05829S" target="_blank" >GA18-05829S: Forecasting Volatility in Emerging Financial Markets</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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