The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

simulation algorithm exists for this process, at present this is not the case for the Heston stochastic volatility model, where …

univariate volatility models (including HEAVY and Realized GARCH models), using daily returns from the S&P 500, DJIA, FTSE and … result, albeit less strong, holds when compared to combined density forecasts based on equal weights. In addition, VaR … estimates improve a t the short horizon, in particular when compared to estimates based on equal weights or to the VaR estimates …