size and power properties of CUSUM based, LM and Wald volatility break tests. In a simulation study we derive the … properties of the tests under shifts in the unconditional and conditional variance as well as for smooth shifts in the volatility … process. Our results indicate that Wald tests have more power of detecting a change in the volatility than CUSUM and LM tests …

In this paper, we estimate, model and forecast Realized Range Volatility, a realized measure and estimator of the … forecasting daily stocks volatility. We consider an HAR model with asymmetric effects with respect to the volatility and the … volatility series and they have a highly in-sample explanatory power. The analysis of the forecast performance in 16 NYSE stocks …

volatility of the Standard and Poors 500 index among recent extensions of the heterogeneous autoregressive model. While we find …, improvements achieved by the inclusion of implied volatility turn out to be insignificant. …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

This paper shows that combinations of option implied and time series volatility forecasts that are conditional on … that this method works well in practice by applying it to volatility forecasts for the Mexican Peso-US Dollar exchange rate …, where the actual value is taken to be the realized volatility measured using intra-day observations …

high-frequency data better and produce more accurate forecasts than competing realized volatility and option …

holding period increase, a phenomenon known as volatility decay. Algebraically, it is shown that volatility decay is … volatility decay. The ARIMA model ability to forecast future returns is tested for three major indexes and is shown to provide … captures the volatility decay effect. Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models provide more …

heteroscedasticity (GARCH)-type models to forecast oil price volatility over the time periods from January 02, 1875 to December 31, 1895 … indicate that none of our volatility models can uniformly outperform other models across all six different loss functions …

In this study I apply the recent advances in volatility estimation and forecasting to the price series of the FTSE 100 …