Author: Lyócsa, Å tefan; PÃhal, Tomáš; Výrost, Tomáš
Title: FX Market Volatility Modelling: Can we use low-frequency data? Cord-id: qikr9ryf Document date: 2020_9_30
ID: qikr9ryf
Snippet: High-frequency data tend to be costly, subject to microstructure noise, difficult to manage, and lead to high computational costs. Is it always worth the extra effort? We compare the forecasting accuracy of low- and high-frequency volatility models on the market of six major foreign exchange market (FX) pairs. Our results indicate that for short-forecast horizons, high-frequency models dominate their low-frequency counterparts, particularly in periods of increased volatility. With an increased f
Document: High-frequency data tend to be costly, subject to microstructure noise, difficult to manage, and lead to high computational costs. Is it always worth the extra effort? We compare the forecasting accuracy of low- and high-frequency volatility models on the market of six major foreign exchange market (FX) pairs. Our results indicate that for short-forecast horizons, high-frequency models dominate their low-frequency counterparts, particularly in periods of increased volatility. With an increased forecast horizon, low-frequency volatility models become competitive, suggesting that if high-frequency data are not available, low-frequency data can be used to estimate and predict long-term volatility in FX markets.
Search related documents:
Co phrase search for related documents- additional information and long term short: 1
- additional information and low correlation: 1
- additional information and low frequency: 1, 2
- long term short and loss function: 1, 2, 3, 4, 5, 6, 7, 8, 9
- long term short and low correlation: 1
- long term short and low frequency: 1, 2, 3, 4
- long term short and low frequency high: 1, 2
- long term short and low volatility: 1
- long term short and low volatility high: 1
- loss function and low frequency: 1, 2
- loss function and low frequency high: 1
Co phrase search for related documents, hyperlinks ordered by date