In almost all stages of forecasting volatility, certain subjective decisions need to be made. Despite of an enormous …. In order to find out outperforming model in general not just in the contexts of studies, volatility models should be …, EWMA), GARCH family models (GARCH, GRJ-GARCH, GARCH, APARCH, NAGARCH, FIGARCH) and Stochastic Volatility model. The …

For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between … futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers … the stochastic volatility model with asymmetry and long memory, using high frequency data for the underlying asset …