James M. Steeley

finance seminar

James M. Steeley

Keele University
Forecasting the volatility of the Australian dollar using high frequency data: Does estimator accuracy improve forecast evaluation?
Co-écrit avec
George Bailey
Lieu

Château Lafarge

Château Lafarge - Salle de séminaires
Château Lafarge
Route des Milles
13290 Les Milles
Date(s)
Mardi 22 mai 2018| 14:30
Contact(s)

Eric Girardin : eric.girardin[at]univ-amu.fr
Christelle Lecourt : christelle.lecourt[at]univ-amu.fr
Jean-François Carpantier : jean-francois.carpantier[at]univ-amu.fr

Résumé

We compare forecasts of the volatility of the Australian Dollar / US Dollar exchange rate to alternative measures of ex-post volatility. We develop and apply a simple test for the improvement in the ability of loss functions to distinguish between forecasts when the quality of a volatility estimator is increased. We find that both realized variance and the daily high-low range provide a significant improvement in loss function convergence relative to squared returns. We find that a model of stochastic volatility provides the best forecasts, relative to a set of GARCH models, which includes a GARCH(1,1) that is second best.