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@inproceedings{1353964,
author = {Plíhal, Tomáš},
address = {Brno},
booktitle = {European Financial Systems 2016},
editor = {Jan Krajíček, Josef Nešleha, Karel Urbanovský},
keywords = {exchange rate volatility; forecasting volatility; GARCH model; HAR-RV model},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Brno},
isbn = {978-80-210-8308-0},
pages = {609-613},
publisher = {Masarykova univerzita},
title = {Forecasting Exchange Rate Volatility: Suggestions for Further Research},
url = {http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_12_final_web.pdf},
year = {2016}
}
TY - JOUR
ID - 1353964
AU - Plíhal, Tomáš
PY - 2016
TI - Forecasting Exchange Rate Volatility: Suggestions for Further Research
PB - Masarykova univerzita
CY - Brno
SN - 9788021083080
KW - exchange rate volatility
KW - forecasting volatility
KW - GARCH model
KW - HAR-RV model
UR - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_12_final_web.pdf
L2 - http://is.muni.cz/do/econ/sborniky/2016/EFS2016-Proceedings_final_September_12_final_web.pdf
N2 - The market volatility plays an important role in the world of finance and it is essential part of risk management, asset management and valuation of derivatives. Several models for volatility forecasting exist. The aim of this paper is to provide a theoretical background for further research in forecasting exchange rate volatility. The first part describes essential information about market volatility and its importance. Analysis of commonly used methods for volatility forecasting follows along with a comparison of individual econometric models. Empirical literature, which measures predicting abilities of different models on the real data from the foreign exchange market, is also examined. According to our results, one of the best model for forecasting exchange rate volatility is simple GARCH(1,1) model. However, the latest empirical evidence highlights relatively new HAR-RV model which is able to provide even better results.
ER -
PLÍHAL, Tomáš. Forecasting Exchange Rate Volatility: Suggestions for Further Research. In Jan Krajíček, Josef Nešleha, Karel Urbanovský. \textit{European Financial Systems 2016}. Brno: Masarykova univerzita, 2016, s.~609-613. ISBN~978-80-210-8308-0.
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