realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

daily realized volatility data of Standard & Poor's 500 (S&P 500) and several other indices, we obtained good performance … using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear … heterogeneous autoregressive and other models of realized volatility. …

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 …