Model of FX rate volatility, based on fractal features of financial time series (B.Poutko, A.Didenko, M.Dubovikov.)

Paper develops volatility forecasting model of RUR/USD exchange rate. To forecast volatility we decompose it to components, characterizing fractal structure of financial time series. Using regression analysis we confirm quasi-cyclical time structure for one of the fractal parameter. We then discuss capacity of the method to predict volatility, including forecasting market transition to unsteady state.

(Applied Econometrics, vol. 36(4), pages 79-87R code and dataset is available upon request: alexander.didenko (at) gmail.com or from my researchgate.com profile).

Continue reading

Advertisements