The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

market information can be used to improve realized volatility forecasts in a large cross-section of international equity … markets. We use volatility data for the U.S. and 17 foreign equity markets from the Oxford Man Institute's realized library … and augment for each foreign equity market our benchmark HAR model with U.S. equity market volatility information. We show …