In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and … distribution for the innovations. The analysis of the forecast performance during the different periods suggests that including the …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … volatility forecast, coupled with a parametric lognormal-normal mixture distribution implied by the theoretically and empirically … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility …