Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data

Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data

Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993.

Bibliographic Details
Main Author: Lai, Ye-Hsing
Other Authors: Bin Zhou.
Format: Thesis
Language:eng
Published: Massachusetts Institute of Technology 2005
Subjects:
Sloan School of Management
Online Access:http://hdl.handle.net/1721.1/12636

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