The incremental volatility information in one million foreign exchange quotations

@inproceedings{Taylor2003TheIV,
  title={The incremental volatility information in one million foreign exchange quotations},
  author={Stephen James Taylor and X L Xu},
  year={2003}
}
The volatility information found in high-frequency exchange rate quotations and in implied volatilities is compared by estimating ARCH models for DM/$ returns. Reuters quotations are used to calculate five-minute returns and hence hourly and daily estimates of realised volatility that can be included in equations for the conditional variances of hourly and daily returns. The ARCH results show that there is a significant amount of information in five-minute returns that is incremental to options… CONTINUE READING
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