variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the … forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …, Garman-Klass, Parkinson, Roger-Satchell and Yang-Zhang methods and forecasting is done through ARIMA technique. The study …

proposed. A large-scale out-of-sample forecasting analysis comparing the different models is performed. It is found that models …

periodic ARMA process enable us to formulate a forecasting method which avoids recursion and allows us to obtain analytic …

usefulness of including order book variables for out-of-sample forecasting performance …

The benefits of using flight-to-safety (FTS) in volatility forecasting are assessed within a multivariate GARCH …