Daily FX volatility forecasts: can the GARCH(1,1) model be beaten using high-frequency data? (Q4687264)
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scientific article; zbMATH DE number 6951792
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| English | Daily FX volatility forecasts: can the GARCH(1,1) model be beaten using high-frequency data? |
scientific article; zbMATH DE number 6951792 |
Statements
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High‐Frequency Data? (English)
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11 October 2018
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intra-day data
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rate returns
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regression tests
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predictive power
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forecast encompassing
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forecast combination
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0.7975955605506897
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0.796748161315918
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0.7892244458198547
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0.7802250981330872
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0.7747738361358643
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