Liu, Chun; Maheu, John M. - In: Journal of Applied Econometrics 24 (2009) 5, pp. 709-733
How to measure and model volatility is an important issue in finance. Recent research uses high-frequency intraday data to construct ex post measures of daily volatility. This paper uses a Bayesian model-averaging approach to forecast realized volatility. Candidate models include autoregressive...