Optimal Modelling Frequency for Foreign Exchange Volatility Forecasting
Posted: 25 Aug 2010
Date Written: 2009
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.
Keywords: High-frequency data, Realized volatility
JEL Classification: G15
Suggested Citation: Suggested Citation
Reeves, Jonathan J. and Hooper, Vincent James and Xie, Xuan, Optimal Modelling Frequency for Foreign Exchange Volatility Forecasting (2009). Applied Financial Economics, Vol. 19, No. 14, 2009, Available at SSRN: https://ssrn.com/abstract=1663666
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C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
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