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 … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

memory in stochastic volatility (SV) components in order to develop the General Long Memory SV (GLMSV) model. We examine the … corresponding statistical properties of this model, discuss the spectral likelihood estimation and investigate the finite sample …