Forecasting Exchange Rate Volatility:A Multiple Horizon Comparison UsingHistorical, Realized and Implied Volatility Measures

摘要

Recent studies suggest realized volatility provides forecasts that are as good asoption-implied volatilities, with improvement stemming from the use of high-frequency data instead of a long-memory specification. This paper examineswhether volatility persistence can be captured by a longer dataset consisting ofover 15 years of intra-day data. Volatility forecasts are evaluated using fourexchange rates (AUD/USD, EUR/USD, GBP/USD, USD/JPY) over horizonsranging from 1 day to 3 months, using an expanded set of short-range andlong-range dependence models. The empirical results provide additional evi-dence that significant incremental information is found in historical forecasts,beyond the implied volatility information for all forecast horizons.