Accessibility navigation


Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Clements, M. P. ORCID: https://orcid.org/0000-0001-6329-1341, Galvao, A. B. and Kim, J. H. (2008) Quantile forecasts of daily exchange rate returns from forecasts of realized volatility. Journal of Empirical Finance, 15 (4). pp. 729-750. ISSN 0927-5398

Full text not archived in this repository.

It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing.

To link to this item DOI: 10.1016/j.jempfin.2007.12.001

Abstract/Summary

Quantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of five currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of different measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main findings are that the Heterogenous Autoregressive model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts

Item Type:Article
Refereed:Yes
Divisions:No Reading authors. Back catalogue items
Henley Business School > ICMA Centre
ID Code:35257
Uncontrolled Keywords:Realized volatility; Quantile forecasting; MIDAS; HAR; Exchange rates
Publisher:Elsevier

University Staff: Request a correction | Centaur Editors: Update this record

Page navigation