for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … the intraday volatility measure. For forecasting horizons ranging from one day to one week the most accurate out …

volatility forecasting. In this paper we explore the forecasting value of historical volatility (extracted from daily return … explanatory variables for volatility. The main focus is on forecasting the daily variability of the Standard & Poor's 100 stock …

We study whether and when parameter-driven time-varying parameter models lead to forecasting gains over observation … alternatives. We also find that GAS models outperform many familiar observation-driven models in terms of forecasting accuracy. The … results point to a class of observation-driven models with comparable forecasting ability to parameter-driven models, but …

the forecasting accuracy against competitive alternative methods and conclude that our model-based forecasts outperform …

We present a model for hourly electricity load forecasting based on stochastically time-varying processes that are … national French hourly electricity load. The analysis focuses on two hours, 9 AM and 12 AM, but forecasting results are … implementation of our forecasting procedure relies on the multivariate linear Gaussian state space framework and is applied to …