. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …

We introduce a dynamic Skellam model that measures stochastic volatility from high-frequency tick-by-tick discrete … series per day varies from 1000 to 10,000. Complexities in the intraday dynamics of volatility and in the frequency of trades … intraday volatility shows that the dynamic modified Skellam model provides accurate forecasts compared to alternative modeling …

We study optimality properties in finite samples for time-varying volatility models driven by the score of the …-driven volatility models have optimality properties when they matter most. Score-driven models perform best when the data is fat …

that is embedded in the time-varying parameter path. We illustrate our findings in a volatility analysis for monthly …