Hol, Eugenie; Koopman, Siem Jan - Tinbergen Instituut - 2002
-calIed realised volatility models in which the cumulative squared intraday returns are modelled directly. We adopt an unobserved … fractionally integrated moving average model which allows for long memory in the logarithms of realised volatility. We compare the … predictive abilities of these realised vola-tility models with those of daily time-varying volatility models, such as Stochastic …