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 …

volatility (RV) of ten global stock market indices in the period from January 2000 to December 2021. We train models using a …

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 …

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

This paper proposes a novel decomposition of realized volatility (RV) into moderate and extreme realized volatility … estimates. These estimates behave like long and short term components of volatility, and are very different from either realized … semi-variance or the continuous and jump components of volatility. Within the standard linear HAR framework, a forecast …

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which … forecasting errors in realized volatility are substantive. Even though returns standardized by ex post quadratic variation … distribution of returns. Carefully modeling this volatility risk is fundamental. We propose a dually asymmetric realized volatility …