The paper provides a framework to model and
forecast volatility of EUR/USD exchange rate based on the unbiased AddRS
estimator as proposed by Kumar and Maheswaran . The framework is based on
the heterogeneous auto-regressive (HAR) model to capture the heterogeneity in a
market and to ac-count for long memory in data. The results indicate that the
framework based on the unbiased extreme value volatility estimator generates
more accurate forecasts of daily volatility in comparison to alternative
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