Rogers-Satchell (RS) measure is an efficient volatility measure. This paper proposes quantile RS (QRS) measure to … on Standard and Poor 500 and Dow Jones Industrial Average indices show that volatility estimates using QRS measures …-of-sample forecast. For return models, the constant mean structure with Student-t errors and QRS volatility estimates provides the best …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

evolve, many investors continue to forecast volatility using traditional approaches that are ill-suited to the time …-changing nature of volatility. In this paper, I analyze the performance of seven different multivariate-volatility models using a new … poorly when trying to forecast short-term volatility, and that a more dynamic model often provides superior out …

frequency volatilities and correlations ; Dynamic conditional correlation ; Spline-GARCH ; Idiosyncratic volatility ; Long …

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …

measuring the contemporaneous correlation between the return shock and the volatility shock. We show that the contemporaneous …

Forecasting volatility models typically rely on either daily or high frequency (HF) data and the choice between these … two categories is not obvious. In particular, the latter allows to treat volatility as observable but they suffer from … these two family forecasting-volatility models, comparing their performance (in terms of Value at Risk, VaR) under the …

1.71% per annum. Consistent with theory, we find that the volatility of stocks with longer memory is more predictable …We examine long memory volatility in the cross-section of stock returns. We show that long memory volatility is … capitalization, book-to-market ratio, prior performance, and price jumps. Long memory volatility is negatively priced in the cross …