While it is clear that the volatility of asset returns is serially correlated, there is no general agreement as to the … modeling financial market volatility using high frequency data. The method avoids using a tight parametric model, by instead … construct volatility forecasts, which compare favorably with some leading alternatives in an out-of-sample forecasting exercise …

This paper characterizes the volatility in the DM-dollar foreign exchange market using an annual sample of five … announcement effects, and the volatility persistence, or ARCH effects, familiar from lower frequency returns. The different … modeled, constitute an extremely valuable and vastly underutilized resource for better understanding the volatility dynamics …