Informace o publikaci

Scheduled macroeconomic news announcements and Forex volatility forecasting

Logo poskytovatele
Autoři

PLÍHAL Tomáš

Rok publikování 2021
Druh Článek v odborném periodiku
Časopis / Zdroj JOURNAL OF FORECASTING
Fakulta / Pracoviště MU

Ekonomicko-správní fakulta

Citace
www https://onlinelibrary.wiley.com/doi/10.1002/for.2773
Doi http://dx.doi.org/10.1002/for.2773
Klíčová slova forecasting; Forex; high- frequency data; realized volatility; scheduled announcements
Přiložené soubory
Popis In the world of finance, the volatility of asset prices plays a crucial role, for example, in portfolio optimization or the valuation of derivatives. Macroeconomic news announcements are among the most important factors that influence volatility in financial markets. This paper focuses on the effect of scheduled macroeconomic news announcements on the realized volatility of the most traded currency pairs, EUR/USD, GBP/USD, and USD/JPY, from 2009 to 2017. Realized volatility is analysed on a daily basis, and it is also decomposed into continuous and jump components that are analysed separately. We focus on out-of-sample forecasting and provide strong evidence that scheduled macroeconomic news announcements play a statistically significant role in volatility models. Forecasting accuracy is improved by up to 12.4%. These results are important for future practical applications in various areas of finance.
Související projekty:

Používáte starou verzi internetového prohlížeče. Doporučujeme aktualizovat Váš prohlížeč na nejnovější verzi.

Další info