I test for the presence of asymmetric volatility in the Swiss Franc cross-rate futures markets. My investigation is … based on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series … from 2004 through 2009. I find that a decline in futures returns, while apparently leading to lower volatility asymmetry …

exchange rate volatility. Results show that an increase of the number of cases and the deaths (both in logs) in the US has a … daily volatility of three exchange rates series with respect to American dollar. These results are useful for anyone needing … forecasts of exchange rate futures volatility …

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 …

I test for the presence of asymmetric volatility in British Pound cross-rate futures markets. My investigation is based … on a variant of the heterogeneous autoregressive volatility model, using daily realized variance and return series from … 2004 through 2009. I find that appreciation against the British Pound leads to significantly less volatility for the CHF …

model to explore the impact of COVID-19 cases on the volatility of the USD exchange rates against the local currencies of … investigation reveals a positive and significant effect of COVID-19 cases on the volatility of the USD exchange rate against BDT …, INR, and PKR. Additionally, this paper forecasts the daily volatility of the USD exchange rate concerning all three …