Optimal modelling frequency for foreign exchange volatility forecasting

• Autores: Vincent J. Hooper, Jonathan J. Reeves
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 19, Nº. 13-15, 2009, págs. 1159-1162
• Idioma: inglés
• DOI: 10.1080/09603100802360016
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• Resumen

  • 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.