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Modeling and forecasting exchange rate volatility in time-frequency domain [PDF]
, 2015 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 ...
Barunik, Jozef +2 more
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Forecasting Foreign Exchange Volatility Using Deep Learning Autoencoder-LSTM Techniques
Complexity, 2021 Since the breakdown of the Bretton Woods system in the early 1970s, the foreign exchange (FX) market has become an important focus of both academic and practical research.
Gunho Jung, Sun-Yong Choi
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Measuring and Forecasting Volatility in Chinese Stock Market Using HAR-CJ-M Model
Abstract and Applied Analysis, 2013 Basing on the Heterogeneous Autoregressive with Continuous volatility and Jumps model (HAR-CJ), converting the realized Volatility (RV) into the adjusted realized volatility (ARV), and making use of the influence of momentum effect on the volatility, a ...
Chuangxia Huang +3 more
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Sustainable Development and Engineering Economics, 2023 Measurement and forecasting of volatility and income correlation are achieved by non-parametric methods using high-frequency price data. Due to accurate calculations of conditional volatility and correlation forecasting, it is possible to correctly ...
John Guyomey, Andrey Zaitsev
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Frontiers in Environmental Science, 2022 There is increasing evidence that European Union allowance (EUA) futures return distributions exhibit features of time-varying higher moments (skewness and kurtosis), which plays an important role in modeling and forecasting EUA futures volatility ...
Xinyu Wu, Xueting Mei, Zhongming Ding
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Modeling and Forecasting the Volatility of Eastern European Emerging Markets
East Asian Economic Review, 2009 This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting ...
Sang Hoon Kang , Seong-Min Yoon
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Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts [PDF]
International Economics and Economic Policy, 2014 This study investigates whether different specifications of univariate GARCH models can usefully forecast volatility in the foreign exchange market. The study compares in-sample forecasts from symmetric and asymmetric GARCH models with the implied volatility derived from currency options for four dollar parities.
Pilbeam, K., Langeland, K. N.
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Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical ...
Francis X. Diebold +3 more
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Hybrid Forecasting Models Based on the Neural Networks for the Volatility of Bitcoin
Applied Sciences, 2020 In this paper, we study the volatility forecasts in the Bitcoin market, which has become popular in the global market in recent years. Since the volatility forecasts help trading decisions of traders who want a profit, the volatility forecasting is an ...
Monghwan Seo, Geonwoo Kim
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Historical Perspectives in Volatility Forecasting Methods with Machine Learning
RisksVolatility forecasting for financial institutions plays a pivotal role across a wide range of domains, such as risk management, option pricing, and market making.
Zhiang Qiu +3 more
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