An Empirical Study On The Effect Of Volume On Exchange Rate Volatility Predicting

As economic globalization still going,The exchange rate profoundly affects nation's economy and finance.The RMB exchange rate and the exchange fluctuations not only have an important impact on China's economic,but also affect many other conomies in the world under the globalizng trend.This paper intends to investigate which kind of model is good for forecasting volatility's forecast and want get a conclusion whether the introduction of trading volume variables improved prediction equation's accuracy through empirical research.The empirical result shows that(1)ARMA(2,2)-EGARCH-M is beat traditional GARCH and stay on top by intraday GARCH in volatility forecasting;(2)Realized Range Volatility based on the students T distribution is best;(3)higher frequency data provide more accurate forecastst;(4)here is not a improvement in volatility forecasting by taking trading volume as a predictor.