Forecasting exchange rate volatility using high-frequency data: Is the euro different?

We assess the performances of alternative procedures for forecasting the daily volatility of the euro’s bilateral exchange rates using 15 min data. We use realized volatility and traditional time series volatility models. Our results indicate that using high-frequency data and considering their long...

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Bibliographic Details
Published in:International journal of forecasting 2011-10, Vol.27 (4), p.1089-1107
Main Authors: Chortareas, Georgios, Jiang, Ying, Nankervis, John. C.
Format: Article
Language:English
Subjects:
Economic forecasting
Economic models
Euro
Euro exchange rates
Euro exchange rates Volatility forecasting High-frequency data GARCH model Long memory time series Forecast evaluation
Forecast evaluation
Foreign exchange rates
GARCH model
High-frequency data
Long memory time series
Studies
Volatility
Volatility forecasting
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Summary:We assess the performances of alternative procedures for forecasting the daily volatility of the euro’s bilateral exchange rates using 15 min data. We use realized volatility and traditional time series volatility models. Our results indicate that using high-frequency data and considering their long memory dimension enhances the performance of volatility forecasts significantly. We find that the intraday FIGARCH model and the ARFIMA model outperform other traditional models for all exchange rate series.
ISSN:0169-2070
1872-8200
DOI:10.1016/j.ijforecast.2010.07.003