volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime … of asset returns (MSM), namely, the Markov-Switching Multifractal model of asset returns with Student-t innovations (MSM …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models …

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. …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …