gains over the equation by equation approach using a four variable fully interdependent model with different volatility …

Many ways exist to measure and model financial asset volatility. In principle, as the frequency of the data increases …, the quality of forecasts should improve. Yet, there is no consensus about a "true" or "best" measure of volatility. In … this paper we propose to jointly consider absolute daily returns, daily high-low range and daily realized volatility to …

estimator for forecasting time series, with a special attention to GARCH and ACD models. The local large sample properties of …

baseline GARCH but not so relative to the range; there are relevant gains from modeling volatility trends and using realized …In this paper we address the issue of forecasting Value–at–Risk (VaR) using different volatility measures: realized … volatility, bipower realized volatility, two scales realized volatility, realized kernel as well as the daily range. We propose a …

This paper assesses the performance of volatility forecasting using focused selection and combination strategies to …