Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a … forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the … influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates …