Modeling and forecasting exchange rate volatility in time-frequency domain

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11230/16:10317544

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Modeling and forecasting exchange rate volatility in time-frequency domain

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Modeling and forecasting exchange rate volatility in time-frequency domain

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

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

Název periodika

European Journal of Operational Research

ISSN

0377-2217

e-ISSN

—

Svazek periodika

251

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

12

Strana od-do

329-340

Kód UT WoS článku

000369473300030

EID výsledku v databázi Scopus

2-s2.0-84955063029