asset volatility, particularly in estimation of the intrinsic value of stock options. …Volatility is one of the most important characteristics of any financial instrument return. The idea which states that … volatility of financial assets and it corresponds well with the efficient market hypothesis. Therefore, all volatility models use …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …

volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects … positive definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump … indicate that the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

increases of the variance risk-premium, and possess a statistically significant forecasting power for future volatility and …

, volatility spillovers from the Chinese stock market to economic neighbours, a detailed comparison of Value-at-Risk estimates, the …

range), which is a measure of volatility. …