This paper focuses on forecasting volatility of high frequency Euro exchange rates. Four 15 minute frequency Euro … models, including both traditional time series volatility models and the realized volatility model. Besides the normally used …. Although the widely preferred ARFIMA model shows better performance than the traditional daily volatility models, generally …

The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … answer to the fundamental latency problem of return volatility. It surveys the most relevant aspects of the volatility topic …, suggesting advantages and disadvantages of each alternative in modeling. It reviews the concept of realized volatility and …

volatility. However, this predictive power of the LOB declines during extreme market-wide movements. We also find that buy orders … are more informative for future price volatility than sell orders, but sell (buy) orders become more informative during …

countries from 2001 to 2010 to make a comprehensive assessment of the effects of food price inflation and volatility on …