We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales …, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What … is more, by further studying daily realized volatility measures of close to two thousand individual US equities, we find …

price volatility. To address this issue, we find a phenomenon, "momentum of jumps" (MoJ), that the predictive ability of the … jump component is persistent when forecasting the oil futures market volatility. Specifically, we propose a strategy that … according to their recent past forecasting performance. The volatility data are based on the intraday prices of West Texas …

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

forecasts and probabilistic prediction intervals for demographic parameters in addition. Age-sex specific population forecast …-specific population forecast using the cohort-component method. The consequence for the German pension system is discussed. To maintain …

stochastic volatility models, which were estimated based on Russian financial data. The data includes Aeroflot and Gazprom … transform for the in-sample comparison, and a Mincer-Zarnowitz regression, along with classical forecast performance measures … to the conclusion that stochastic volatility models perform equally or in some cases better than GARCH models …

With the recent availability of high-frequency financial data the long range dependence of volatility regained … researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of … volatility, however, is usually stated for long sample periods, while for small sample sizes, such as e.g. one year, the …

forecasting, the authors propose a new factor multivariate stochastic volatility (fMSV) model for realized covariance measures …

Recent literature has focuses on realized volatility models to predict financial risk. This paper studies the benefit … volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based … on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility …