Forecasting renminbi exchange rate volatility using carr-midas model

HIGHLIGHTS

• who: Xinyu Wu from the School of Finance, Anhui University of Finance and Economics, Bengbu, China have published the paper: Forecasting Renminbi Exchange Rate Volatility Using CARR-MIDAS Model, in the Journal: Complexity of 26/04/2022
• what: The authors propose to employ the conditional autoregressive range-mixed-data sampling (CARR-MIDAS) model to model and forecast the renminbi exchange rate volatility. The authors examine and compare the out-of-sample forecast performance of the range-based CARR-MIDAS model with that of the two popular return-based volatility models: the GARCH model of Bollerslev . . .
  

   

  

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