Volatility has been one of the most active and successful areas of research in time series econometrics and economic … empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is … inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then …

that background, we explore whether incorporating stochastic volatility improves DSGE forecasts (point, interval, and … policy rate. We find that incorporating stochastic volatility in DSGE models of macroeconomic fundamentals markedly improves … their density forecasts, just as incorporating stochastic volatility in models of financial asset returns improves their …

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …