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 …

Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …

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 …