| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5069884 | Finance Research Letters | 2012 | 8 Pages |
Abstract
⺠I study whether Google search data can predict volatility in the currency market. ⺠Daily foreign currency volatility is highly persistent between 2004 and 2010. ⺠The conditional variance of the GARCH(1,1) is not an unbiased predictor. ⺠Google keyword search data has incremental predictive power beyond the GARCH(1,1). ⺠Findings are robust to the APARCH(1,1) model specification.
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Authors
Geoffrey Peter Smith,