Počet záznamů: 1
Modeling and forecasting exchange rate volatility in time-frequency domain
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SYSNO ASEP 0456184 Druh ASEP J - Článek v odborném periodiku Zařazení RIV J - Článek v odborném periodiku Poddruh J Článek ve WOS Název Modeling and forecasting exchange rate volatility in time-frequency domain Tvůrce(i) Baruník, Jozef (UTIA-B) RID, ORCID
Křehlík, Tomáš (UTIA-B)
Vácha, Lukáš (UTIA-B) RIDCelkový počet autorů 3 Zdroj.dok. European Journal of Operational Research. - : Elsevier - ISSN 0377-2217
Roč. 251, č. 1 (2016), s. 329-340Poč.str. 12 s. Forma vydání Tištěná - P Jazyk dok. eng - angličtina Země vyd. NL - Nizozemsko Klíč. slova Realized GARCH ; Wavelet decomposition ; Jumps ; Multi-period-ahead volatility forecasting Vědní obor RIV AH - Ekonomie CEP GA13-32263S GA ČR - Grantová agentura ČR Institucionální podpora UTIA-B - RVO:67985556 UT WOS 000369473300030 EID SCOPUS 84955063029 DOI 10.1016/j.ejor.2015.12.010 Anotace 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. Pracoviště Ústav teorie informace a automatizace Kontakt Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Rok sběru 2017
Počet záznamů: 1