5 papers
Intraday FX Volatility-Curve Forecasting with Functional GARCH Approaches
Fearghal Kearney, Han Lin Shang, Yuqian Zhao
This paper seeks to forecast intraday volatility curves for major foreign exchange (FX) currencies using functional GARCH models. Intraday return curves are observed at a daily fre…
Dynamic functional time-series forecasts of foreign exchange implied volatility surfaces
Han Lin Shang, Fearghal Kearney
This paper presents static and dynamic versions of univariate, multivariate, and multilevel functional time-series methods to forecast implied volatility surfaces in foreign exchan…
Implied volatility surface predictability: the case of commodity markets
Fearghal Kearney, Han Lin Shang, Lisa Sheenan
Recent literature seek to forecast implied volatility derived from equity, index, foreign exchange, and interest rate options using latent factor and parametric frameworks. Motivat…
Uncovering predictability in the evolution of the WTI oil futures curve
Fearghal Kearney, Han Lin Shang
Accurately forecasting the price of oil, the world's most actively traded commodity, is of great importance to both academics and practitioners. We contribute by proposing a functi…
Intraday forecasts of a volatility index: Functional time series methods with dynamic updating
Han Lin Shang, Yang Yang, Fearghal Kearney
As a forward-looking measure of future equity market volatility, the VIX index has gained immense popularity in recent years to become a key measure of risk for market analysts and…