Forecasting the Exchange Rate between AUD and USD with HAR model

DOI

10.2991/aebmr.k.220307.321How to use a DOI?

Keywords

Volatility Forecasting; Exchange Rate; Realized Volatility; HAR Model; High-Frequency Data

Abstract

The exchange rate is essential to global financial markets. Based on the approximate long memory Heterogeneous Autoregressive (HAR) model proposed by Corsi, we estimate the volatility using 5-minute high-frequency data on the US dollar exchange rate against the Australian dollar from January 15, 2019, to September 16, 2021. The HAR-RV model performs well in describing volatility and forecasting accuracy. The empirical results indicate that daily, weekly, and monthly volatility positively influences exchange rate volatility, especially in the mid-term and the long-term. This paper provides a forecasting method to predict exchange rate volatility

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Jiahua Huang
PY  - 2022
DA  - 2022/03/26
TI  - Forecasting the Exchange Rate between AUD and USD with HAR model
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 1952
EP  - 1956
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.321
DO  - 10.2991/aebmr.k.220307.321
ID  - Huang2022
ER  -