Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH-NIG model (replication data)

DOI

This paper bridges the gap between traditional ARCH modelling and recent advances on realized volatilities. Based on a ten-year sample of five-minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constructed from the summation of the high-frequency intraday squared returns conditional on the lagged squared daily returns are approximately Inverse Gaussian (IG) distributed, while the distribution of the daily returns standardized by their realized volatilities is approximately normal. Moreover, the implied daily GARCH model with Normal Inverse Gaussian (NIG) errors estimated for the ECU returns results in very accurate out-of-sample predictions for the three years of actual daily Euro/US dollar exchange rates.

Identifier
DOI https://doi.org/10.15456/jae.2022314.1310471173
Metadata Access https://www.da-ra.de/oaip/oai?verb=GetRecord&metadataPrefix=oai_dc&identifier=oai:oai.da-ra.de:776239
Provenance
Creator Forsberg, Lars; Bollerslev, Tim
Publisher ZBW - Leibniz Informationszentrum Wirtschaft
Publication Year 2002
Rights Creative Commons Attribution 4.0 (CC-BY); Download
OpenAccess true
Contact ZBW - Leibniz Informationszentrum Wirtschaft
Representation
Language English
Resource Type Collection
Discipline Economics