squared return prediction errors gives an adequate approximation of the unobserved realised conditional variance for both the …

autoregressive score (GAS) models have similar predictive accuracy to correctly specified parameter-driven models. In most cases … alternatives. We also find that GAS models outperform many familiar observation-driven models in terms of forecasting accuracy. The …

Ding, Granger and Engle (1993) and Ding and Granger (1996). Our prediction experiments use high frequency price returns … variations help less in the prediction of future realized volatility, than past "small" jump power variations. Additionally, we …, are strongly correlated with future volatility, and that past downside jump variations matter in prediction. Finally …