000269747 001__ 269747
000269747 005__ 20180321232500.0
000269747 037__ $$a2068-2018-1571
000269747 041__ $$aeng
000269747 084__ $$aC32
000269747 084__ $$aC53
000269747 084__ $$aF37
000269747 245__ $$aQuantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility
000269747 260__ $$c2006
000269747 269__ $$a2006-11-11
000269747 300__ $$a29
000269747 336__ $$aWorking or Discussion Paper
000269747 520__ $$aQuantile forecasts are central to risk management decisions because of the widespread use of Value-at-Risk. A quantile forecast is the product of two factors: the model used to forecast volatility, and the method of computing quantiles from the volatility forecasts. In this paper we calculate and evaluate quantile forecasts of the daily exchange rate returns of Öve currencies. The forecasting models that have been used in recent analyses of the predictability of daily realized volatility permit a comparison of the predictive power of di§erent measures of intraday variation and intraday returns in forecasting exchange rate variability. The methods of computing quantile forecasts include making distributional assumptions for future daily returns as well as using the empirical distribution of predicted standardized returns with both rolling and recursive samples. Our main Öndings are that the HAR model provides more accurate volatility and quantile forecasts for currencies which experience shifts in volatility, such as the Canadian dollar, and that the use of the empirical distribution to calculate quantiles can improve forecasts when there are shifts.
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000269747 546__ $$aEnglish
000269747 650__ $$aFinancial Economics
000269747 650__ $$aInternational Relations/Trade
000269747 6531_ $$arealized volatility
000269747 6531_ $$aquantile forecasting
000269747 6531_ $$aMIDAS
000269747 6531_ $$aHAR
000269747 6531_ $$aexchange rates
000269747 700__ $$aClements, Michael P.
000269747 700__ $$aGalvao, Ana Beatriz
000269747 700__ $$aKim, Jae H.
000269747 8560_ $$fweidm015@umn.edu
000269747 8564_ $$s437230$$uhttp://ageconsearch.umn.edu/record/269747/files/twerp_777.pdf
000269747 8564_ $$s2041581$$uhttp://ageconsearch.umn.edu/record/269747/files/twerp_777.pdf?subformat=pdfa$$xpdfa
000269747 909CO $$ooai:ageconsearch.umn.edu:269747$$pGLOBAL_SET
000269747 980__ $$a2068