value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by … Muneer & Maheswaran (2018b). We show that the robust volatility ratio is unbiased both in the population as well as in finite … samples. We empirically test the robust volatility ratio on 9 global stock indices from America, Asia Pacific and EMEA markets …

A Monte Carlo (MC) experiment is conducted to study the forecasting performance of a variety of volatility models under … Autoregressive Conditional Heteroskedasticity models ((FI)GARCH), the Stochastic Volatility model (SV) and the Markov … different characterizations of the latent volatility process: specifications which incorporate short/long memory, autoregressive …