TITLE:
Modelling and Forecasting Unbiased Extreme Value Volatility Estimator: A Study Based on EUR/USD Exchange Rate
AUTHORS:
Dilip Kumar
KEYWORDS:
Volatility Modeling, Volatility Forecasting, Forecast Evaluation, Economic Significance Analysis, Bias-Corrected Extreme Value Estimator
JOURNAL NAME:
Theoretical Economics Letters,
Vol.8 No.9,
June
13,
2018
ABSTRACT: The paper provides a framework to model and
forecast volatility of EUR/USD exchange rate based on the unbiased AddRS
estimator as proposed by Kumar and Maheswaran [1]. The framework is based on
the heterogeneous auto-regressive (HAR) model to capture the heterogeneity in a
market and to ac-count for long memory in data. The results indicate that the
framework based on the unbiased extreme value volatility estimator generates
more accurate forecasts of daily volatility in comparison to alternative
volatility models.