-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

We present a volatility forecasting comparative study within the ARCH class of models. Our goal is to identify …-record surge in volatility during the last half of 2008 to ask if forecasting models or best practices break down during periods of … turmoil. Surprisingly, we find that volatility during the 2008 crisis was well approximated by predictions one-day ahead, and …