Component‐Driven FX Volatility Prediction: Evidence From USDCNH via GARCH‐MIDAS Models Exploiting Leading Indicators
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DOI: 10.1002/for.70022
Abstract: This study adopts a component‐driven approach to improve FX volatility and value‐at‐risk (VaR) forecasts, with a focus on two types of leading indicators: currency indexes and sovereign spreads. Specifically, we explore the significance of the… read more here.
Keywords: midas models; leading indicators; volatility; component driven ... See more keywords