For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

or demographics. We show the good forecasting performance of the model relative to popular alternatives, including … about the unconditional mean and along with the time variation improves the long-run forecasting performance of the VAR …

for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … the intraday volatility measure. For forecasting horizons ranging from one day to one week the most accurate out …

volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard & Poor's 100 stock …