Forecasting Renminbi Exchange Rate Volatility Using CARR-MIDAS Model

<div>Conditional range <svg height="13.639pt" id="M83" style="vertical-align:-4.35067pt" version="1.1" viewbox="-0.0498162 -9.28833 25.3094 13.639" width="25.3094pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z"></path></g><g transform="matrix(.013,0,0,-0.013,4.498,0)"><path d="M529 97L508 118C475 75 449 58 438 58C428 58 421 66 415 104C393 234 374 403 364 496C345 670 307 712 254 712C220 712 174 691 153 669L161 645C176 653 194 658 206 658C237 658 261 640 278 562C287 522 290 483 293 434C223 269 110 105 23 9L32 -12C59 -6 85 0 108 7C152 64 251 252 300 366C307 297 315 221 337 82C346 24 363 -12 393 -12C425 -12 475 13 529 97Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,12.259,3.132)"><path d="M250 606C250 634 233 656 203 656C168 656 146 618 146 593C146 564 169 545 192 545C227 545 250 573 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433Z"></path></g><g transform="matrix(.013,0,0,-0.013,13.6,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g></svg> and short-run component <svg height="13.639pt" id="M85" style="vertical-align:-4.35067pt" version="1.1" viewbox="-0.0498162 -9.28833 24.6179 13.639" width="24.6179pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z"></path></g><g transform="matrix(.013,0,0,-0.013,4.498,0)"><path d="M546 430L539 434C529 434 505 438 495 440C473 444 450 448 430 448C352 448 265 412 213 366C145 306 96 203 96 103C96 22 135 -12 160 -12C190 -12 238 14 262 32C310 68 368 120 411 184H413C403 117 396 75 384 21C353 -118 325 -158 291 -184C270 -200 241 -205 208 -205C133 -205 90 -164 74 -110C70 -98 58 -100 49 -107C34 -119 23 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d="M329 433H203L239 587L230 596L147 534L123 433H57L30 395L34 388H115L61 129C37 16 59 -12 85 -12C147 -12 222 58 260 98L241 125C212 95 160 62 144 62C132 62 127 71 138 126L192 386L305 394L329 433Z"></path></g><g transform="matrix(.013,0,0,-0.013,19.96,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g></svg> from the CARR-MIDAS model.</div>

Complexity

Forecasting Renminbi Exchange Rate Volatility Using CARR-MIDAS Model

Figure 2