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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

Published in: Journal of Forecasting
ISSN: 0277-6693
Published: Wiley 2012
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URI: https://cronfa.swan.ac.uk/Record/cronfa5136
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first_indexed 2013-07-23T11:51:46Z
last_indexed 2018-02-09T04:31:10Z
id cronfa5136
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spelling 2013-11-05T11:50:20.1058014 v2 5136 2011-10-01 Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data? 086584e9c4fa16eab0222e146b9e35ce Alan Speight Alan Speight true false 2011-10-01 BAF Journal Article Journal of Forecasting 31 4 330 343 Wiley 0277-6693 31 12 2012 2012-12-31 10.1002/for.1222 COLLEGE NANME Accounting and Finance COLLEGE CODE BAF Swansea University 2013-11-05T11:50:20.1058014 2011-10-01T00:00:00.0000000 Faculty of Humanities and Social Sciences School of Management - Accounting and Finance David G Mcmillan 1 Alan Speight 2
title Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
spellingShingle Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
Alan Speight
title_short Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
title_full Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
title_fullStr Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
title_full_unstemmed Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
title_sort Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
author_id_str_mv 086584e9c4fa16eab0222e146b9e35ce
author_id_fullname_str_mv 086584e9c4fa16eab0222e146b9e35ce_***_Alan Speight
author Alan Speight
author2 David G Mcmillan
Alan Speight
format Journal article
container_title Journal of Forecasting
container_volume 31
container_issue 4
container_start_page 330
publishDate 2012
institution Swansea University
issn 0277-6693
doi_str_mv 10.1002/for.1222
publisher Wiley
college_str Faculty of Humanities and Social Sciences
hierarchytype
hierarchy_top_id facultyofhumanitiesandsocialsciences
hierarchy_top_title Faculty of Humanities and Social Sciences
hierarchy_parent_id facultyofhumanitiesandsocialsciences
hierarchy_parent_title Faculty of Humanities and Social Sciences
department_str School of Management - Accounting and Finance{{{_:::_}}}Faculty of Humanities and Social Sciences{{{_:::_}}}School of Management - Accounting and Finance
document_store_str 0
active_str 0
published_date 2012-12-31T03:06:05Z
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score 11.013731

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