factor. Second, we specify the overall volatility as a generalized autoregressive conditional heteroscedasticity (GARCH …

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 …

) does not lead the entire day. Spreads, the number of trades and volatility can explain almost half of the intraday …

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …

We study the impact of private information on volatility in financial markets. We develop a comprehensive framework to … private information on prices and the effects of public information on volatility. Using a high-frequency 30-year U … statistically and economically significant explanatory variables for volatility. Private information is more important than public …