Daily FX volatility forecasts: can the GARCH(1,1) model be beaten using high-frequency data?

DOI10.1002/FOR.1222MaRDI QIDQ4687264zbMATH OpenOpenAlexFDO

Authors David G. McMillan, Alan E. H. Speight

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.1222

zbMATH Keywords

forecast combinationforecast encompassingintra-day datapredictive powerrate returnsregression tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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