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SSRNMacro-Finance & Rates

Futures Markets' Impact on Currency Variance Forecasts in Asian Markets

The volatility of currency markets has become harder to predict with the introduction of futures, with machine learning models performing better than GARCH models, and simple historical volatility forecasts surpassing both.

Featured in No. 35 on 30 Jan 2024 · 6 days after release

Released
24 Jan 2024
First featured
No. 35 · 30 Jan 2024
Published in
Not yet, as far as Semantic Scholar knows
Shares when featured
2
Identifier
SSRN 4704913

Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).

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