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Optimal modelling frequency for foreign exchange volatility forecasting

Author

Listed:
  • Vincent Hooper
  • Jonathan Reeves
  • Xuan Xie

Abstract

For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns.

Suggested Citation

  • Vincent Hooper & Jonathan Reeves & Xuan Xie, 2009. "Optimal modelling frequency for foreign exchange volatility forecasting," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1159-1162.
    • Handle: RePEc:taf:apfiec:v:19:y:2009:i:14:p:1159-1162
    DOI: 10.1080/09603100802360016
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    Cited by:

    1. Emawtee Bissoondoyal-Bheenick & Robert Brooks & Samantha Hum & Sirimon Treepongkaruna, 2011. "Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 21(13), pages 997-1003.
    2. Tseng-Chan Tseng & Hung-Cheng Lai & Cha-Fei Lin, 2012. "The impact of overnight returns on realized volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 357-364, March.
    3. Dimitrios P. Louzis & Spyros Xanthopoulos-Sisinis & Apostolos P. Refenes, 2012. "Stock index realized volatility forecasting in the presence of heterogeneous leverage effects and long range dependence in the volatility of realized volatility," Applied Economics, Taylor & Francis Journals, vol. 44(27), pages 3533-3550, September.

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