Reisenhofer, Rafael; Bayer, Xandro; Hautsch, Nikolaus - 2022
been widely adopted in the context of volatility forecasting. In this work, we aim to bridge the conceptual gap between … from the previous week, yesterday and the day before, yesterday's volatility makes by far the most contribution to today …'s realized volatility forecast. Moroever, within the previous month, the importance of single weeks diminishes almost linearly …