generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

generally, to observation-driven models, which include well-known models for conditional volatility. To overcome the problem of … Monte Carlo study and an empirical study concerning the measurement of conditional volatility from financial returns data. …

Although the main interest in the modelling of electricity prices is often on volatility aspects, we argue that … towards volatility features of the time series.For the older electricity market of Nord Pool in Norway, it is found that a …

improved volatility measurements but has also inspired research into their potential value as an information source for … volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … series), of implied volatility (extracted from option pricing data) and of realised volatility (computed as the sum of …

In this paper we aim to measure actual volatility within a model-based framework using high-frequency data. In the … at smaller and smaller time intervals. High-frequency returns are used for the computation of realised volatility. Recent … theoretical results have shown that realised volatility is a consistent estimator of actual volatility but when it is subject to …