Optimal modelling frequency for foreign exchange volatility forecasting

Vincent Hooper (), Jonathan Reeves and Xuan Xie

Applied Financial Economics, 2009, vol. 19, issue 14, 1159-1162

Abstract: For the major foreign exchange rates, it is found that the optimal modelling frequency of volatility is weekly for forecast horizons ranging from 1 week up to 1 month. Autoregressive modelling is based on realized volatility measures computed from 30 min returns.

Date: 2009
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DOI: 10.1080/09603100802360016

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