Within the context of volatility timing and portfolio selection this paper considers how best to estimate a volatility … model. Two issues are dealt with, namely the frequency of data used to construct volatility estimates, and the loss function … used to estimate the parameters of a volatility model. We find support for the use of intraday data for estimating …

We analyze the puzzling behavior of the volatility of individual stock returns over the past few decades. The … literature has provided many different explanations to the trend in volatility and this paper tests the viability of the … volatility over time lend themselves to explanations about the difference in volatility levels between firms in the cross …

information flows on realized volatility. Additionally, the extent to which the volume of the information flow as well as the …There is a long history of research into the impact of trading activity and information on financial market volatility … sentiment inherent in the news affects volatility is also examined. Both the sentiment and rate of news flow are found to …

Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are … generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive … the loss function under which models of realised volatility are estimated. It is found that employing a utility based …

This paper presents a GARCH type volatility model with a time-varying unconditional volatility which is a function of … macroeconomic variables can be easily incorporated into volatility forecasts for share index returns. It transpires that the model … proposed here can lead to significantly improved volatility forecasts compared to traditional GARCH type volatility models. …

A well developed literature exists in relation to modeling and forecasting asset return volatility. Much of this relate … to the development of time series models of volatility. This paper proposes an alternative method for forecasting … volatility that does not involve such a model. Under this approach a forecast is a weighted average of historical volatility. The …

Forecasts of asset return volatility are necessary for many financial applications, including portfolio allocation …. Traditionally, the parameters of econometric models used to generate volatility forecasts are estimated in a statistical setting and … paper investigates the economic benefit of direct utility based estimation of the parameters of a volatility model and …