This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the … traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information … volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage …

information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …