Scheduled macroeconomic news announcements and Forex volatility forecasting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F21%3A00119317" target="_blank" >RIV/00216224:14560/21:00119317 - isvavai.cz</a>
Result on the web
<a href="https://onlinelibrary.wiley.com/doi/10.1002/for.2773" target="_blank" >https://onlinelibrary.wiley.com/doi/10.1002/for.2773</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1002/for.2773" target="_blank" >10.1002/for.2773</a>
Alternative languages
Result language
angličtina
Original language name
Scheduled macroeconomic news announcements and Forex volatility forecasting
Original language description
In the world of finance, the volatility of asset prices plays a crucial role, for example, in portfolio optimization or the valuation of derivatives. Macroeconomic news announcements are among the most important factors that influence volatility in financial markets. This paper focuses on the effect of scheduled macroeconomic news announcements on the realized volatility of the most traded currency pairs, EUR/USD, GBP/USD, and USD/JPY, from 2009 to 2017. Realized volatility is analysed on a daily basis, and it is also decomposed into continuous and jump components that are analysed separately. We focus on out-of-sample forecasting and provide strong evidence that scheduled macroeconomic news announcements play a statistically significant role in volatility models. Forecasting accuracy is improved by up to 12.4%. These results are important for future practical applications in various areas of finance.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
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)
Others
Publication year
2021
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
JOURNAL OF FORECASTING
ISSN
0277-6693
e-ISSN
1099-131X
Volume of the periodical
40
Issue of the periodical within the volume
8
Country of publishing house
GB - UNITED KINGDOM
Number of pages
19
Pages from-to
1379-1397
UT code for WoS article
000632587900001
EID of the result in the Scopus database
2-s2.0-85103173008