Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?
Article first published online: 13 MAR 2011
Copyright © 2011 John Wiley & Sons, Ltd.
Journal of Forecasting
Volume 31, Issue 4, pages 330–343, July 2012
How to Cite
Mcmillan, D. G. and Speight, A. E. H. (2012), Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data?. J. Forecast., 31: 330–343. doi: 10.1002/for.1222
- Issue published online: 11 MAY 2012
- Article first published online: 13 MAR 2011
- Manuscript Accepted: 4 JAN 2011
- Manuscript Revised: 20 AUG 2010
- Manuscript Received: 30 NOV 2009
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