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| Author: | Dunis, C.L. Laws, J. Chauvin, S. |
| Title: | FX volatility forecasts and the informational content of market data for volatility |
| Journal: | European Journal of Finance
2003 : JUN, VOL. 9:3, p. 242-272 |
| Index terms: | Data banks Forecasting Volatility |
| Language: | eng |
| Abstract: | The medium-term forecasting ability of several alternative models currency volatility is examined in this paper. The data period covers more than eight years of daily observations, from January 1991 to March 1999, for the spot exchange rate, 1- and 3-month volatility of the DEM/JPY, GBP/DEM, GBP/USD, USD/CHF, USD/DEM and USD/JPY. Comparing with the results of "pure" time series models, the reported work investigates whether market implied volatility data can add value in terms of medium-term forecasting accuracy. |
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