asset management are predicated on the importance of jumps, or discontinuous movements in asset returns. In light of this, a … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … that the new method based on stochastic volatility models with the asymmetry and long memory outperforms the forecasting …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the … assumptions of jumps in prices and leverage effects for volatility. Findings suggest that daily-data models are preferred to HF …

,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 … stocks in the DOW 30 and S&P futures index. In particular, we examine jumps from both the perspective of their contribution … of jumps in around 22.8% of the days during the 1993-2000 period, and in 9.4% of the days during the 2001-2008 period …

variables. We then provide empirical evidence on small and large jumps from the perspective of their contribution to overall … and Diebold (2007) and Aït-Sahalia and Jacod (2009a,b,c). Evidence of jumps is found in around 22.8% of the days during … role of jumps is lessening, the role of large jumps has not decreased, and indeed, the relative role of large jumps, as a …

of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting …

using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear …

Numerous tests designed to detect realized jumps over a fixed time span have been proposed and extensively studied in … the financial econometrics literature. These tests differ from 'long time span tests' that detect jumps by examining the … implications of these findings, and 'time-span robust' tests indicate that the prevalence of jumps is not as universal as might be …

This paper analyzes the performance of temporal fusion transformers in forecasting realized volatilities of stocks …