Brexit uncertainty drives improved EUR/GBP exchange rate volatility predictions.
The article explores using implied volatility to predict how much the EUR/GBP exchange rate will change over different time periods. They found that adding implied volatility to their model improved their predictions, especially when using weekly options. The model that considers the asymmetry of returns gives the most accurate predictions for daily and weekly volatility, while the model that corrects for measurement errors works best for monthly volatility.