It seems to vary in different periods and different markets. Secondly, Andersen and his coworker developed FIVAR (fractional integrated vector auto regression) model to forecast exchange volatility.

• 其次，Andersen等学者的向量分数综合自回归模型都没有考虑市场的杠杆效应或不对称性，应用于汇率市场时应该不会有较大误差，但是，股票市场波动率一般都有明显的不对称性，因此该模型并不适合股票市场波动率。