. The data covers the period of 2005-2009. To effectively forecast the volatility in the exchange rates, a GARCH model is … forecasting can be made at least for the next day given the high degree of volatility in the crisis period. The paper also reveals …The present study is an attempt to evaluate the predictability of the foreign exchange volatility in thirteen countries …

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange … markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR … volatility shapes that closely match empirical data during the volatile 2006-2013 period. Furthermore, the FTS model …