Xilong, Chen; Eric, Ghysels; Fangfang, Wang - In: Journal of Time Series Econometrics 3 (2011) 1, pp. 1-28
We use the HYBRID GARCH model of Chen, Ghysels, and Wang (2009) to predict future volatility at daily horizons using intra-daily returns. The latter requires us to address intra-daily periodic patterns. We propose two approaches and compare their relative merits. The first approach uses raw...