Forecasting exchange rate markets' volatility of G7 countries: will stock market volatility help?

Feipeng Zhang and Zhao Zhang

Applied Economics Letters, 2023, vol. 30, issue 7, 991-999

Abstract: In this paper, we consider the prediction accuracy of the realized volatility of exchange rate market fluctuations of G7 countries, using daily data spanning from 1 January 2000 to 31 October 2020. Our empirical results show that the realized volatility of the stock market is an important factor for predicting the realized volatility of the exchange rate market in all the G7 countries. Our findings also reveal stable differences in the performances of predictability from stock market volatility to exchange rate volatility amongst the G7 countries.

Date: 2023
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DOI: 10.1080/13504851.2022.2031856

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