Forecasting the Exchange Rate between AUD and USD with HAR model
- 10.2991/aebmr.k.220307.321How to use a DOI?
- Volatility Forecasting; Exchange Rate; Realized Volatility; HAR Model; High-Frequency Data
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
- © 2022 The Authors. Published by Atlantis Press International B.V.
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Cite this article
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 -