The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

Modelling volatility has become increasingly important in recent times for its diverse implications. The main purpose … of this paper is to examine the performance of volatility modelling using different models and their forecasting accuracy …-sample estimation accuracy under student’s t error distribution. The asymmetric effect captured by the parameter of ARMA (1,1) with …