Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models

No abstract is available for this paper.

• Publication year

  2004

• Venue

  Journal of Banking and Finance

• Publication date

  2004-10-01

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/J.JBANKFIN.2003.10.015
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Forecasting Volatility in Financial Markets: A Review

  2003cited by this paper
• MODELING AND FORECASTING REALIZED VOLATILITY

  2003cited by this paper
• Delta-Hedged Gains and the Negative Market Volatility Risk Premium

  2003cited by this paper
• Long-Memory versus Option-Implied Volatility Predictions

  2002influential reference
• Econometric analysis of realized volatility and its use in estimating stochastic volatility models

  2002cited by this paper
• Estimating quadratic variation using realized variance

  2002cited by this paper
• Predicting Financial Volatility: High-Frequency Time-Series Forecasts Vis-a-Vis Implied Volatility

  2002influential reference
• Range-Based Estimation of Stochastic Volatility Models

  2002cited by this paper
• The Realized Volatility of FTSE-100 Futures Prices

  2002influential reference
• Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics

  2001cited by this paper
• The Distribution of Realized Exchange Rate Volatility

  2001cited by this paper
• Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high frequency index returns

  2001influential reference
• The distribution of realized stock return volatility

  2001cited by this paper
• Forecasting Financial Market Volatility: A Review

  2001cited by this paper
• Using Daily Range Data to Calibrate Volatility Diffusions and Extract the Forward Integrated Variance

  1999cited by this paper
• The Distribution of Exchange Rate Volatility

  1999cited by this paper
• ANSWERING THE SKEPTICS: YES, STANDARD VOLATILITY MODELS DO PROVIDE ACCURATE FORECASTS*

  1998cited by this paper
• The relation between implied and realized volatility

  1998influential reference
• The quality of market volatility forecasts implied by S&P 100 index option prices

  1998cited by this paper
• The Private Equity Market: An Overveiw

  1997cited by this paper
• The incremental volatility information in one million foreign exchange quotations

  1997cited by this paper
• Robustness of whittle-type estimators for time series with long-range dependence

  1997cited by this paper
• Comparing the bias and misspecification in ARFIMA models

  1997cited by this paper
• Long memory processes and fractional integration in econometrics

  1996cited by this paper
• Forecast Evaluation and Combination

  1996cited by this paper
• Predicting stock market volatility: A new measure

  1995cited by this paper
• Conditional volatility and the informational efficiency of the PHLX currency options market

  1995cited by this paper
• Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options

  1995cited by this paper
• Predicting Volatility in the Foreign Exchange Market

  1995cited by this paper
• The Term Structure of Volatility Implied by Foreign Exchange Options

  1994cited by this paper
• Trading Patterns and Prices in the Interbank Foreign Exchange Market

  1993cited by this paper
• Stock market volatility and the information content of stock index options

  1992cited by this paper
• Forecasting Economic Time Series

  1986cited by this paper
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

  1983cited by this paper
• AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING

  1980cited by this paper
• Hypothesis testing in time series analysis

  1954cited by this paper
• Hypothesis Testing in Time Series Analysis.

  1951cited by this paper
• Biometrika

  1902cited by this paper

• Advances in forecasting realized volatility: a review of methodologies

  2026cites this paper
• Forecasting Volatility in Commodity Markets with Climate Risk

  2025cites this paper
• Stability and Fractality in the Behavior of Currencies: Comparing Crypto Versus National Currencies

  2025cites this paper
• Stock Market Volatility Forecasting: Exploring the Power of Deep Learning

  2025cites this paper
• Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility

  2024cites this paper
• Measuring and Forecasting Stock Market Volatilities with High-Frequency Data

  2024cites this paper
• Market Sentiment Analysis Based on Image Processing With Put-Call Volatility Gap Surface

  2024cites this paper
• Explaining Exchange Rate Forecasts with Macroeconomic Fundamentals Using Interpretive Machine Learning

  2023cites this paper
• Forecasting cryptocurrencies volatility using statistical and machine learning methods: A comparative study

  2023cites this paper
• Scenario Generation for Financial Data with a Machine Learning Approach Based on Realized Volatility and Copulas

  2023cites this paper
• Long term currency forecast with multiple trend corrected exponential smoothing with shifting lags

  2023cites this paper
• Volatility predictability in crude oil futures: Evidence based on OVX, GARCH and stochastic volatility models

  2023cites this paper
• Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis

  2022cites this paper
• Role of Volatility in Realizing a Modern Payment System

  2022cites this paper
• Image Processing Based Implied Volatility Surface Analysis for Asset movement Forecasting

  2022cites this paper
• Market implied volatility and natural disasters: international evidence

  2022cites this paper
• Medium-term and long-term volatility forecasts for EUA futures with country-specific economic policy uncertainty indices

  2022cites this paper
• Forecasting risk measures using intraday and overnight information

  2022cites this paper
• Ranking econometric techniques using geometrical Benefit of Doubt

  2022cites this paper
• Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect

  2022cites this paper
• Climate risks and realized volatility of major commodity currency exchange rates

  2022cites this paper
• Financial volatility modeling with option-implied information and important macro-factors

  2021cites this paper
• Forecasting and Backtesting of Market Risks in Emerging Markets

  2021cites this paper
• Prioritizing of volatility models: a computational analysis using data envelopment analysis

  2021cites this paper
• Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?

  2021cites this paper
• Forecasting Volatility in Taiwan with Encompassing Regression Models

  2021cites this paper
• Can the Baidu Index predict realized volatility in the Chinese stock market?

  2021cites this paper
• Literature Review

  2021cites this paper
• FORECASTING REALIZED VARIANCE: A COMPARISON BETWEEN HAR AND ARFIMA MODELS

  2021cites this paper
• Forecasting realized volatility: The role of implied volatility, leverage effect, overnight returns, and volatility of realized volatility

  2021cites this paper
• The role of high-frequency data in volatility forecasting: evidence from the China stock market

  2021cites this paper
• An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options

  2021cites this paper
• Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures

  2021cites this paper
• Liquidity effects on oil volatility forecasting: From fintech perspective

  2021cites this paper
• Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate

  2021cites this paper
• Stock volatility predictability in bull and bear markets

  2020cites this paper
• The economic importance of rare earth elements volatility forecasts

  2020cites this paper
• Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator

  2020cites this paper
• The contribution of intraday jumps to forecasting the density of returns

  2020cites this paper
• Forecasting bitcoin volatility: Evidence from the options market

  2020cites this paper
• Another look at the implied and realised volatility relation: a copula-based approach

  2020cites this paper
• Estimating and Predicting Value-at-Risk in the presence of structural breaks: A Study based on unbiased extreme value volatility estimator

  2020cites this paper
• Forecasting stock market return with nonlinearity: a genetic programming approach

  2020cites this paper
• Historic risk and implied volatility

  2020cites this paper
• Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator

  2020cites this paper
• Asymmetric Volat i l i ty Effects in Risk Management: An Empirical Analysis using a Stock Index Futures

  2020cites this paper
• A Competitive Model to Forecast a Stock Market Index

  2020influential citation
• Dynamic Portfolio Optimization Using a Hybrid MLP-HAR Approach

  2020cites this paper
• Volatility in the stock market: ANN versus parametric models

  2019cites this paper
• カルマン・フィルターによるRealized Stochastic Volatilityモデルの疑似最尤推定について

  2019cites this paper
• The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades

  2019cites this paper
• Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility

  2019cites this paper
• The information content of realized volatility of sector indices in China’s stock market

  2019cites this paper
• The information content of short-term options

  2019cites this paper
• A Time-varying Mixture Memory Multiplicative Error Model

  2019cites this paper
• Modeling Price Volatility Based on a Genetic Programming Approach

  2019cites this paper
• An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components

  2019cites this paper
• An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components

  2019cites this paper
• Forecasting the volatility of theAustralian dollar using high‐frequency data:Does estimator accuracy improve forecast evaluation?

  2019cites this paper
• Forecasting realised volatility using ARFIMA and HAR models

  2019cites this paper
• News implied volatility and long-term foreign exchange market volatility

  2019cites this paper
• Incorporating the RMB internationalization effect into its exchange rate volatility forecasting

  2019cites this paper
• Another look at the implied and realised volatility relation: a copula-based approach

  2019cites this paper
• Density forecast comparisons for stock prices, obtained from high‐frequency returns and daily option prices

  2018influential citation
• Quantile forecasts using the Realized GARCH-EVT approach

  2018cites this paper
• Forecasting Stock Market Realized Variance with Echo State Neural Networks

  2018cites this paper
• Forecasting realized volatility: A review

  2018cites this paper
• Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks

  2018cites this paper
• Volatility information implied in the term structure of  VIX

  2018cites this paper
• Second Cycle Degree programme

  2017influential citation
• Multiple days ahead realized volatility forecasting: Single, combined and average forecasts

  2017cites this paper
• Predictive Accuracy of Futures Options Implied Volatility: The Case of the Exchange Rate Futures Mexican Peso-U.S. Dollar

  2017cites this paper
• Forecasting energy futures volatility based on the unbiased extreme value volatility estimator

  2017cites this paper
• Realized Stochastic Volatility with General Asymmetry and Long Memory

  2017cites this paper
• Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator

  2017cites this paper
• Estimation de la volatilité des données financières à haute fréquence : une approche par le Modèle Score-GARCH

  2017cites this paper
• Sir Clive W.J. Granger Memorial Special Issue on Econometrics Long Memory and Fractional Differencing: Revisiting Clive W. J. Granger’s Contributions and Further Developments

  2017cites this paper
• Forecasting DAX Volatility: A Comparison of Time Series Models and Implied Volatilities

  2017cites this paper
• Improved VaR forecasts using extreme value theory with the Realized GARCH model

  2017cites this paper
• Realized stochastic volatility models with generalized Gegenbauer long memory

  2017cites this paper
• Volatility forecasting in the Chinese commodity futures market with intraday data

  2017cites this paper
• An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure

  2017cites this paper
• Volatility measures and Value-at-Risk

  2017cites this paper
• A fractionally integrated Wishart stochastic volatility model

  2017cites this paper
• Essays on financial econometrics : variance and covariance estimation using price durations

  2017influential citation
• Forecast volatility in value of the EUR/USD

  2017cites this paper
• Económico Estimating and Forecasting Generalized Fractional Long Memory Stochastic Volatility Models

  2016cites this paper
• Essays on heterogeneous news flow on volatility

  2016cites this paper
• Risk Modeling of Commodities using CAViaR Models, the Encompassing Method and the Combined Forecasts

  2016cites this paper
• Estimating and forecasting generalized fractional Long memory stochastic volatility models

  2016cites this paper
• Essays on financial econometrics:cojump detection and density forecasting

  2016cites this paper
• Forecasting volatility of oil price using an artificial neural network-GARCH model

  2016cites this paper
• Combining nearest neighbor predictions and model-based predictions of realized variance: Does it pay?

  2016cites this paper
• Measuring actual daily volatility from high frequency intraday returns of the S&P futures and index observations

  2016cites this paper
• 6. Detecting Jumps in High-Frequency Prices Under Stochastic Volatility: A Review and a Data-Driven Approach

  2016cites this paper
• Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator

  2016cites this paper
• A new combination approach to reducing forecast errors with an application to volatility forecasting

  2016cites this paper
• TITLE & NAME OF THE AUTHOR (S) Page No. 1. A LITERATURE REVIEW ON EFFECTIVENESS OF CELEBRITY ENDORSEMENT FOR THE SOCIAL CAUSE

  2016cites this paper
• Modelling financial volatility using Bayesian and conventional methods

  2016cites this paper
• Volatility forecasting in the Chinese commodity futures market with intraday data

  2016cites this paper