In this article we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche mark and the Japanese yen against the U.S. dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a...

In this study we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche Mark and the Japanese Yen against the US dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a seasonal...

In this study we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche Mark and the Japanese Yen against the US dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a seasonal...