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Predicting volatility : getting the most out of return data sampled at different frequencies

Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004

"We consider various MIDAS (Mixed Data Sampling) regression models to predict volatility. The models differ in the specification of regressors (squared returns, absolute returns, realized volatility, realized power, and return ranges), in the use of daily or intra-daily (5-minute) data, and in...