frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source … for longer horizon volatility forecasts. In this paper we explore the forecasting value of these high fre-quency series in … conjunction with a variety of volatility models for returns on the Standard & Poor's 100 stock index. We consider two so …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …

to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange … financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial … crisis, or, if a different forecast horizon, or, intraday sampling frequency is employed, respectively. Finally, our evidence …

In this paper, we use factor-augmented HAR-type models to predict the daily integrated volatility of asset returns. Our … approach is based on a proposed two-step dimension reduction procedure designed to extract latent common volatility factors …, we apply either LASSO or elastic net shrinkage on estimates of integrated volatility of all constituents in the dataset …

The financial markets stylized facts, volatility and its relationship with returns tested empirically in Tehran Stock …, 1) - EGARCH (1, 1) are used to determine the process of stock returns and volatility, and by applying ARCH(M) class … models and out-of-sample methodology the relationship between stock return and volatility is examined. The key findings are …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump …