Number of the records: 1  

Modeling and forecasting exchange rate volatility in time-frequency domain

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    SYSNO ASEP0456184
    Document TypeJ - Journal Article
    R&D Document TypeJournal Article
    Subsidiary JČlánek ve WOS
    TitleModeling and forecasting exchange rate volatility in time-frequency domain
    Author(s) Baruník, Jozef (UTIA-B) RID, ORCID
    Křehlík, Tomáš (UTIA-B)
    Vácha, Lukáš (UTIA-B) RID
    Number of authors3
    Source TitleEuropean Journal of Operational Research. - : Elsevier - ISSN 0377-2217
    Roč. 251, č. 1 (2016), s. 329-340
    Number of pages12 s.
    Publication formPrint - P
    Languageeng - English
    CountryNL - Netherlands
    KeywordsRealized GARCH ; Wavelet decomposition ; Jumps ; Multi-period-ahead volatility forecasting
    Subject RIVAH - Economics
    R&D ProjectsGA13-32263S GA ČR - Czech Science Foundation (CSF)
    Institutional supportUTIA-B - RVO:67985556
    UT WOS000369473300030
    EID SCOPUS84955063029
    DOI10.1016/j.ejor.2015.12.010
    AnnotationThis 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.
    WorkplaceInstitute of Information Theory and Automation
    ContactMarkéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
    Year of Publishing2017
Number of the records: 1  

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