Forecasting the volatility of the Australian dollar using high‐frequency data: Does estimator accuracy improve forecast evaluation?

We compare forecasts of the volatility of the Australian dollar exchange rate to alternative measures of ex post volatility. We develop and apply a simple test for the improvement in the ability of loss functions to distinguish between forecasts when the quality of a volatility estimator is increase...

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Veröffentlicht in:	International journal of finance and economics 2019-07, Vol.24 (3), p.1355-1389
Hauptverfasser:	Bailey, George, Steeley, James M.
Format:	Artikel
Sprache:	eng
Schlagworte:	Australian dollar exchange rate high–low range realized variance stochastic volatility Volatility volatility forecasting
Online-Zugang:	Volltext
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