Forecasting USD-BRL currency rate volatility using realized and implied volatilities data
This article assesses the impact of exogenous variables in GARCH models, when applied to volatility forecasts for the Brazilian USD-BRL currency market. As exogenous variables, we used the realized variance, based on high frequency data, and the FXVol index, based on market implied volatility data....
Guardado en:
| Autores principales: | , |
|---|---|
| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
Universidade de São Paulo
2018
|
| Materias: | |
| Acceso en línea: | https://doaj.org/article/4ae89426d14948e69b571a2b3de49a8e |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|