daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … heterogeneous autoregressive and other models of realized volatility. …

the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of …

Volatility forecasting has paramount importance in position sizing and risk management of CTAs. In this paper we … examine the out-of-sample forecasts of widely used volatility estimators for the S&P 500 and the 10-Year US Note from a … statistical and Value-at-Risk perspective. Although we do not find evidence for a volatility estimator that is statistically …

This paper presents a new volatility model with time-varying volatility persistence (TVP) that is governed by the … application to the U.S. stock market, we show that volatility persistence is positively related to realized volatility and that it …

-varying volatility of volatility in the volatility of asset returns. This class nests a variety of GARCH-type models and the SHARV model …, respectively. We also show a novel way of introducing the leverage effect of negative returns on the volatility through the …We propose a new class of conditional heteroskedasticity in the volatility (CH-V) models which allows for time …

-frequency returns and realized measures, and are sufficiently flexible to capture long memory as well as asymmetries related to leverage …

-then-poolingmethod to forecast the joint distributions of asset returns using a large pool of assetpricing models. Our method allows …

forecasting the volatility of equity prices, using high-frequency data from 2000 to 2016. We consider the SPY and 20 stocks that …, 60, and 300 seconds), forecast horizons (1, 5, 22, and 66 days) and the use of standard and robust-to-noise volatility … real-time forecasts than the HAR-RV model, although no single extended model dominates. In general, standard volatility …

evident. In forecasting volatility, the combination that averages forecasts obtained using different rolling estimation …The aim of this paper is to investigate the relevance of structural breaks for forecasting the volatility of daily … returns on BRICS countries (Brazil, Russia, India, China and South Africa). The data set used in the analysis is the Morgan …