We build a discrete-time non-linear model for volatility forecasting purposes. This model belongs to the class of … volatility regimes and using more accurate volatility measures allow outperforming other benchmark models, such as linear …

called for. The approach is appealing when we consider state space models which feature stochastic volatility, or other non … stochastic volatility feature is particularly relevant when considering high frequency financial series. In addition, we propose … models. We assess the efficiency of our indirect inference estimator for the stochastic volatility model by comparing it with …