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Based on a ten\u2010year sample of five\u2010minute returns for the ECU basket currencies versus the US dollar, we find that the realized volatilities constructed from the summation of the high\u2010frequency intraday squared returns conditional on the lagged squared daily returns are approximately Inverse Gaussian (IG) distributed, while the distribution of the daily returns standardized by their realized volatilities is approximately normal. Moreover, the implied daily GARCH model with Normal Inverse Gaussian (NIG) errors estimated for the ECU returns results in very accurate out\u2010of\u2010sample predictions for the three years of actual daily Euro\/US dollar exchange rates. Copyright \u00a9 2002 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.685","type":"journal-article","created":{"date-parts":[[2002,10,29]],"date-time":"2002-10-29T13:56:52Z","timestamp":1035899812000},"page":"535-548","source":"Crossref","is-referenced-by-count":75,"title":["Bridging the gap between the distribution of realized (ECU) volatility and ARCH modelling (of the Euro): the GARCH\u2010NIG model"],"prefix":"10.1002","volume":"17","author":[{"given":"Lars","family":"Forsberg","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Tim","family":"Bollerslev","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2002,10,28]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-405X(01)00055-1"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.17578\/4-3\/4-2"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1198\/016214501750332965"},{"key":"e_1_2_7_5_1","volume-title":"Handbook of Financial Econometrics","author":"Andersen TG","year":"2002"},{"key":"e_1_2_7_6_1","doi-asserted-by":"crossref","first-page":"169","DOI":"10.1111\/j.1540-6261.1996.tb05206.x","article-title":"Return volatility and trading volume: an information flow interpretation of stochastic volatility","volume":"56","author":"Andersen TG","year":"1996","journal-title":"Journal of Finance"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1198\/07350010152472607"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500102288618504"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00286"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00282"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_7_12_1","volume-title":"Identification and Inference for Econometric Models","author":"Barndorff\u2010Nielsen OE","year":"2002"},{"key":"e_1_2_7_13_1","first-page":"151","article-title":"Hyperbolic distributions and distributions on hyperbolae","volume":"5","author":"Barndorff\u2010Nielsen OE","year":"1978","journal-title":"Scandinavian Journal of Statistics"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00045"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/1925546"},{"key":"e_1_2_7_16_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(92)90064-X"},{"key":"e_1_2_7_17_1","doi-asserted-by":"publisher","DOI":"10.2307\/1913889"},{"key":"e_1_2_7_18_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9965.00057"},{"key":"e_1_2_7_19_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527342"},{"key":"e_1_2_7_20_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912773"},{"key":"e_1_2_7_21_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912726"},{"key":"e_1_2_7_22_1","unstructured":"ForsbergL.2002.On the Normal Inverse Gaussian Distribution in Modeling Volatility in the Financial Markets. 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