McMillan, David G.; Garcia, Raquel Quiroga - In: Applied financial economics 19 (2009) 7/9, pp. 611-623
This article seeks to examine the forecasting performance of competing models for intra-day volatility for the IBEX-35 … volatility, relatively little research examines the forecasting performance of models designed to capture intra-day volatility … Heteroscedasticity (HYGARCH) model provides the best forecast of intra-day volatility. Second, both this model and the Fractionally …
