In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility … of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR …' realized volatility. From the Bai – Perron test, we found structural breakpoints that match significant events in financial …

exchange rate with respect to the currencies of major trading partner country USA. The daily data is used for the time period … distribution. We find that the volatility of the Pakistani rupee is best elucidated by the EGARCH process as using the past … volatility. The coefficient of moving average of the conditional mean equation suggests that percentage change in the exchange is …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or …This paper considers forecast averaging when the same model is used but estimation is carried out over different … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …