back-testing models. We conclude by comparing in-sample and out-of-sample performances of complex volatility models. …

Many recent modelling advances in finance topics ranging from the pricing of volatility-based derivative products to … number of recent papers have addressed volatility predictability, some from the perspective of the usefulness of jumps in … forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative …

The three most popular univariate conditional volatility models are the generalized autoregressive conditional … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …

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. …

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the … traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information … criteria, and conditions for the existence of moments and asymptotic theory, as well as the out-of-sample model selection …

volatility models. Our approach allows the isolation of the intrisic liquidity of any asset, and thus makes it possible to deduce …

We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales …, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What … is more, by further studying daily realized volatility measures of close to two thousand individual US equities, we find …