Journal article 729 views
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
David G Mcmillan,
Alan Speight
Journal of Forecasting, Volume: 31, Issue: 4, Pages: 330 - 343
Swansea University Author: Alan Speight
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DOI (Published version): 10.1002/for.1222
Abstract
Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
| Published in: | Journal of Forecasting |
|---|---|
| ISSN: | 0277-6693 |
| Published: |
Wiley
2012
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| Online Access: |
Check full text
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| URI: | https://cronfa.swan.ac.uk/Record/cronfa5136 |
| College: |
Faculty of Humanities and Social Sciences |
|---|---|
| Issue: |
4 |
| Start Page: |
330 |
| End Page: |
343 |