Scheduled macroeconomic news announcements and Forex volatility forecasting

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Scheduled macroeconomic news announcements and Forex volatility forecasting

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Scheduled macroeconomic news announcements and Forex volatility forecasting

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA18-05829S" target="_blank" >GA18-05829S: Predikce volatility na rozvijících se finančních trzích</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

JOURNAL OF FORECASTING

ISSN

0277-6693

e-ISSN

1099-131X

Svazek periodika

40

Číslo periodika v rámci svazku

8

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

19

Strana od-do

1379-1397

Kód UT WoS článku

000632587900001

EID výsledku v databázi Scopus

2-s2.0-85103173008