Can ESG improve the predictability of high-frequency volatility in the foreign exchange market?-A new high-frequency volatility model with long memory and asymmetry

Amid the widespread promotion of the ESG concept, this study seeks to examine the influence of ESG on high-frequency exchange rate volatility forecasting. Considering the extensive utilization of intraday information fin volatility models, along with the asymmetry effect and long-memory characteristics of the asymmetry volatility forecasting, and robustness tests, we demonstrate that integrating ESG into high-frequency volatility models significantly improves exchange market volatility forecasting. This research contributes to advancing theoretical understanding of Realized-GARCH-type volatility models and offers new insights into the impact of ESG on foreign exchange market volatility forecasting.