's dynamic properties may lead to misestimation of the intraday spot volatility. …

of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two … average realized volatility processes can achieve a convergence rate close to OP(n−4/9) , which is better than the convergence … based on average realized volatility processes indeed performs better than that based on the price processes. Empirically …

Despite the growing interest in realized stochastic volatility models, their estimation techniques, such as simulated … maximum likelihood (SML), are computationally intensive. Based on the realized volatility equation, this study demonstrates … quasi-likelihood ratio tests favored the two-factor realized asymmetric stochastic volatility model with the standardized t …

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …