predictive variance. We show theoretically how this adjustment factor affects both average and volatility of excess returns. We … related to excess volatility as predicted by the model. Further confirming the model's implications, we also show how stock …

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

allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a … provide a statistical approach to estimate the volatility of these factors. The efficacy of this approach relative to the use … of models based on squared returns is demonstrated for forecasts of the market volatility and a portfolio allocation …

while adjusting for the volatility risk premium. Relative model performance does not change during the global financial …

as futures and options. Those will depend on the dynamics, volatility, or even the jumps of cryptos. In this paper, the … risk characteristics for Bitcoin are analyzed from a realized volatility dynamics view. The realized variance RV is …

years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

This study predicts stock market volatility and applies them to the standard problem in finance, namely, asset … predictive performance relative to the standard volatility models. Furthermore, we construct volatility timing portfolios and …

The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism … for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by … volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate …