Google Internet search activity and volatility prediction in the market for foreign currency

► I study whether Google search data can predict volatility in the currency market. ► Daily foreign currency volatility is highly persistent between 2004 and 2010. ► The conditional variance of the GARCH(1,1) is not an unbiased predictor. ► Google keyword search data has incremental predictive power beyond the GARCH(1,1). ► Findings are robust to the APARCH(1,1) model specification.