prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

We study the relation between realized and implied volatility in the bond market. Realized volatility is constructed … from high-frequency (5-minute) returns on 30 year Treasury bond futures. Implied volatility is backed out from prices of … associated bond options. Recent nonparametric statistical techniques are used to separate realized volatility into its continuous …