Modeling and forecasting exchange rate volatility in time-frequency domain

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00456184" target="_blank" >RIV/67985556:_____/16:00456184 - isvavai.cz</a>

Alternative codes found

RIV/00216208:11230/16:10317544

Result on the web

<a href="http://dx.doi.org/10.1016/j.ejor.2015.12.010" target="_blank" >http://dx.doi.org/10.1016/j.ejor.2015.12.010</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.ejor.2015.12.010" target="_blank" >10.1016/j.ejor.2015.12.010</a>

Result language

angličtina

Original language name

Modeling and forecasting exchange rate volatility in time-frequency domain

Original language description

This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of general- ized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis.

Czech name

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Czech description

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Type

J_x - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)

CEP classification

AH - Economics

OECD FORD branch

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Project

Result was created during the realization of more than one project. More information in the Projects tab.

Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

European Journal of Operational Research

ISSN

0377-2217

e-ISSN

—

Volume of the periodical

251

Issue of the periodical within the volume

1

Country of publishing house

NL - THE KINGDOM OF THE NETHERLANDS

Number of pages

12

Pages from-to

329-340

UT code for WoS article

000369473300030

EID of the result in the Scopus database

2-s2.0-84955063029