Loading...
Please wait, while we are loading the content...
The incremental volatility information in one million foreign exchange quotations
| Content Provider | Semantic Scholar |
|---|---|
| Author | Taylor, Stephen James |
| Copyright Year | 2003 |
| Abstract | The volatility information found in high-frequency exchange rate quotations and in implied volatilities is compared by estimating ARCH models for DM/$ returns. Reuters quotations are used to calculate five-minute returns and hence hourly and daily estimates of realised volatility that can be included in equations for the conditional variances of hourly and daily returns. The ARCH results show that there is a significant amount of information in five-minute returns that is incremental to options information when estimating hourly variances. The same conclusion is obtained by an out-of-sample comparison of forecasts of hourly realised volatility. © 1997 Elsevier Science B.V. JEL classification: Gl3; Gl4; Gl5 |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://finance.martinsewell.com/stylized-facts/dependence/TaylorXu1997.pdf |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | ARCH Estimated Foreign exchange service (telecommunications) Increment Million Projections and Predictions Volatility |
| Content Type | Text |
| Resource Type | Article |
