This paper presents a simple forecasting technique for variance covariance matrices. It relies significantly on the contribution of Chiriac and Voev (2010) who propose to forecast elements of the Cholesky decomposition which recombine to form a positive definite forecast for the variance...

Modeling and forecasting realized volatility is of paramount importance. Recent econometric developments allow total volatility to be decomposed into its' constituent continuous and jump components. While previous studies have examined the role of both components in forecasting, little analysis...

Modeling and forecasting realized volatility is of paramount importance. Previous studies have examined the role of both the continuous and jump components of volatility in forecasting. This paper considers how to use index level jumps and cojumps across index constituents for forecasting index...

Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed rapidly in recent years with more sophisticated estimates of volatility, and its associated jump and diffusion components. Previous work has found that jumps at an index level...

Since the introduction of volatility derivatives, there has been growing interest in option implied volatility (IV). Many studies have examined informational content, and or forecast accuracy of IV, however there is relatively less work on directly modeling and forecasting IV. This paper uses a...

Techniques for evaluating and selecting multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper considers the ability of different loss functions to discriminate between a competing set of forecasting models which are subsequently applied in...

Understanding the dynamics of volatility and correlation is a crucially important issue. The literature has developed rapidly in recent years with more sophisticated estimates of volatility, and its associated jump and diffusion components. Previous work has found that jumps at an index level...

Much research has addressed the relative performance of option implied volatilities and econometric model based forecasts in terms of forecasting asset return volatility. The general theme to come from this body of work is that implied volatility is a superior forecast. Some authors attribute...

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of macroeconomic information. It is an extension of the SPLINE GARCH model proposed by Engle and Rangel (2005). The advantage of the model proposed in this paper is that the...

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate to the development of time series models of volatility. This paper proposes an alternative method for forecasting volatility that does not involve such a model. Under this...