Time series modeling of daily log-price ranges for CHF/USD and USD/GBP

被引：6

作者：

Brunetti, Celso ^{[1
]}

Lildholdt, Peter M. ^{[2
,3
]}

机构：

[1] Johns Hopkins Univ, Dept Finance, Baltimore, MD 21218 USA

[2] Univ Aarhus, Sch Econ & Management, Copenhagen, Denmark

[3] Danske Bank, Copenhagen, Denmark

来源：

JOURNAL OF DERIVATIVES | 2007年 / 15卷 / 02期

关键词：

D O I：

10.3905/jod.2007.699045

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this article is to model the dynamic evolution of daily price ranges for two foreign exchange rates, CHF/USD and USD/GBP Following Engle [2002] and Chou [2005], we adopt the Multiplicative Error Model (MEM). The range is a highly efficient measure of daily volatility, and our empirical results provide insights into the volatility dynamics for CHF/USD and USD/GBP We find that both series are highly persistent and, in particular USD/GBP calls for a long memory specification in the form of a fractionally integrated MEM. Semi parametric and parametric models are estimated. In a simple forecasting exercise we show that (FI)MEMs are able to predict daily ranges rather well. Moreover, using straddles and strangles trading strategies, we show that volatility forecasts from (FI)MEMs may have significant economic value.

引用

页码：39 / 59

页数：21

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