In the world of finance, the volatility of asset prices plays a crucial role, for example, in portfolio optimization or the valuation of derivatives. Macroeconomic news announcements are among the most important factors that influence volatility in financial markets. This paper focuses on the effect of scheduled macroeconomic news announcements on the realized volatility of the most traded currency pairs, EUR/USD, GBP/USD, and USD/JPY, from 2009 to 2017. Realized volatility is analysed on a daily basis, and it is also decomposed into continuous and jump components that are analysed separately. We focus on out-of-sample forecasting and provide strong evidence that scheduled macroeconomic news announcements play a statistically significant role in volatility models. Forecasting accuracy is improved by up to 12.4%. These results are important for future practical applications in various areas of finance.

中文翻译：

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预定的宏观经济新闻公告和外汇波动预测

在金融领域，资产价格的波动起着至关重要的作用，例如，在投资组合优化或衍生品估值方面。宏观经济新闻公告是影响金融市场波动的最重要因素之一。本文重点介绍 2009 年至 2017 年预定的宏观经济新闻公告对交易量最大的货币对欧元/美元、英镑/美元和美元/日元的已实现波动率的影响。 每日分析已实现波动率，以及也分解为连续和跳跃分量，分别进行分析。我们专注于样本外预测，并提供强有力的证据证明预定的宏观经济新闻公告在波动率模型中具有统计上的重要作用。预测精度提高了 12.4%。