other (GARCH, ARMA) predictors of volatility calculated from historical exchange rate data. These results are in line with …Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso-US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. …

intervention. Based on a GARCH framework and change point detection, we test for a structural break in the effectiveness of … volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized. …

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for … may be generalized, if we use alternative measures of volatility. We choose one feasible alternative and derive a … generalized volatility model. Applying this model to some exemplary market indices, we are able to give some empirical evidence …

This paper investigates the forecasting performance of three popular variants of the non-linear GARCH models, namely VS-GARCH …, GJR-GARCH and Q-GARCH, with the symmetric GARCH(1,1) model as a benchmark. The application involves ten European stock … price indexes. Forecasts produced by each non-linear GARCH model and each index are evaluated using a common set of …

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of …

futures prices on the London LIFFE and the New York CSCE by means of multivariate GARCH models - under the assumption that … the commodity futures price. The significance and form of volatility spill-over effects of a bilateral exchange rate are …

-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using … rates at a given future date triggers a reduction in exchange rate volatility during the interim period. Using a Markov … Interimsphase bewirkt. Auf der Basis eines Markov-Switching GARCH Modells schätzt diese Arbeit die Volatilitätsprozesse von vier EWU …

volatility models including long memory and leverage effects. We compute the price by applying a present value scheme as well as … the Black-Scholes and Hull-White formulas which includes stochastic volatility. We find that long memory as well as …