forecasting, however it is robust in the sense that it provides a more accurate estimation of the predictive density in the region …

for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … Volatility (SV) and Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models which are both extended to include … 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 …

series forecasting, however it is robust in the sense that it provides a more accurate estimation of the predictive density …

series forecasting, however it is robust in the sense that it provides a more accurate estimation of the predictive density …

surface types. We finally show that our proposed model can also be effective in forecasting. We provide evidence that our … model significantly outperforms existing models in the forecasting of tennis match results. …