Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)

Forecasting the Exchange Rate between AUD and USD with HAR model

Authors
Jiahua Huang1, *
1School of Economics and Finance, Queen Mary University of London, London E14NS, United Kingdom
*Corresponding author. Email: guanghua.ren@gecacademy.cn
Corresponding Author
Jiahua Huang
Available Online 26 March 2022.
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.

Download article (PDF)

Volume Title
Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
Series
Advances in Economics, Business and Management Research
Publication Date
26 March 2022
ISBN
978-94-6239-554-1
ISSN
2352-5428
DOI
10.2991/aebmr.k.220307.321How to use a DOI?
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.

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  -