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....
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| Autores principales: | , |
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| Formato: | article |
| Lenguaje: | EN PT |
| Publicado: |
Universidade de São Paulo
2018
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| Materias: | |
| Acceso en línea: | https://doaj.org/article/4ae89426d14948e69b571a2b3de49a8e |
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