broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …

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 …

volatility and the spread used for trading. The results of the trading strategies suggest that cointegrated portfolios based on … part of the econometric analysis explores Granger causality between volatility and the spread. For this analysis, we … implement two types of forecasting models for Bitcoin volatility: the GARCH (generalized autoregressive conditional …

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. …

This paper provides empirical evidence that combinations of option implied and time series volatility forecasts that … application is for volatility forecasts of the Mexican Peso–US Dollar exchange rate, where realized volatility calculated using … intra-day data is used as a proxy for the (latent) daily volatility. -- Composite Forecasts ; Forecast Evaluation ; GARCH …

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 …

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 …

proxy for σ2t. We show that some commonly used criteria for evaluation of volatility models, may induce a different … provide an additional argument for using intra-day data to approximate σ2t , such as realized volatility. …