The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction … data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are … realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the …

characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in … market volatility, with significant impact on pricing and forecasting of market volatility. The implication is that models … that accomodate long memory hold the promise of improved long-run volatility forecast as well as accurate pricing of long …