The model of volatility of the exchange rate (RUR/USD), based on the fractal characteristics of time series

Boris Putko (), Alexander Didenko () and Mikhail Dubovikov ()
Additional contact information
Boris Putko: Financial University under the Government of Russian Federation
Mikhail Dubovikov: Index-20, Russia

Applied Econometrics, 2014, vol. 36, issue 4, 79-87

Abstract: The paper develops volatility forecasting model for exchange rate RUR/USD. To forecast volatility we decompose it to components, characterizing fractal structure of financial time series. Using regression analysis we confirm quasi-cyclical time structure for one of the fractal parameter. We discuss possibilities of the method to predict volatility, including forecasting market transition to unsteady state.

Keywords: FX market; volatility; fractal parameters; unsteady state forecast (search for similar items in EconPapers)
JEL-codes: C51 C53 F31 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (1)

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