The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

stock of recent theoretical insights on this model in Duchon et al. (2012) to derive forecasts of financial volatility … the RV framework. We compare the predictive ability of the two against seven classical and multifractal volatility models … clear message: The RV-MRW is throughout the best model for all forecast horizons under the MAE criterium as well as for …