specifications including a GARCH specification for the conditional variance of volatility. …

This paper considers the performance of different long-memory dynamic models when forecasting volatility in the stock … market using implied volatility as an exogenous variable in the information set. Observed volatility is separated into its … performance. Implied volatility conveys incremental information about future volatility in both specifications, improving …

alleviating finite sample biases arising from the pronounced intraday volatility pattern which afflict alternative jump …

predictable to a large extent with bond market liquidity being the most important variable. Moreover, stock market volatility …, inflation uncertainty, short rate volatility, and bond volatility have significant effects upon the sign. In addition, we use …

the key ingredient enabling inference about volatility and the presence of jumps in financial time series and is thus of …

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

framework can be used to estimate the autocorrelation function of the latent volatility process and a key persistence parameter …. Our analysis is motivated by the recent literature on realized (volatility) measures, such as the realized variance, that … are imperfect estimates of actual volatility. In an empirical analysis using realized measures for the DJIA stocks we find …