GARCH Models have become a workhouse in volatility forecasting of financial and monetary market time series. In this … article, we assess the small sample properties in estimation and the performance in volatility forecasting of four competing … methods can be an asset in volatility forecasting, since model parameters are subject to structural change over time and the …

We study the modelling of large data sets of high frequency returns using a long memory stochastic volatility (LMSV …, a new method of de-seasonalising the volatility in high frequency data is proposed, that allows for slowly varying … realised volatility to that of a linear long memory model fit to the log realised volatility. The performance of the new …