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

This paper examines long memory volatility in international stock markets. We show that long memory volatility is … the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and …

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 …

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …This paper examines long memory volatility in the cross-section of stock returns. We show that long memory volatility … capitalization, book-to-market ratio, prior performance and price jumps. Long memory volatility is negatively priced in the cross …

We examine the performance of volatility models that incorporate features such as long (short) memory, regime …-t). Second, we perform a comprehensive panel forecasting analysis of the MSM models as well as other competing volatility models … over the alternative volatility models in terms of mean absolute forecast errors and that (iii) forecast combinations …