forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …, 60 and 300 seconds), forecast horizons (1, 5, 22 and 66 days) and the use of standard and robust-to-noise volatility and …-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility measures at the …

effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. …In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive …