The aim of this paper is to forecast (out-of-sample) the distribution of financial returns based on realized volatility …

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

The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …

leverage effect and the volatility feedback effect. We stress the importance of distinguishing between realized volatility and … implied volatility, and find that implied volatilities are essential for assessing the volatility feedback effect. The … leverage hypothesis asserts that return shocks lead to changes in conditional volatility, while the volatility feedback effect …

This article studies the risk forecasting properties of three realized volatility models for three Chinese individual … and account for a larger proportion in realized volatility. Further, I compare the Value-at-risk (VaR) forecasting … performances of three commonly used realized volatility models for the three Chinese stocks. Two-step VaR backtesting shows that a …

Recent contributions highlight the importance of intraday jumps in forecasting realized volatility at horizons up to … importance of considering the continuous/jump decomposition of volatility for the purpose of density forecasting. Specifically …

-day and intra-day volatility models by estimating the AR(1)-GARCH(1,1)-skT and the AR(1)-HAR-RV-skT frameworks, respectively … intra-day volatility model is not as appropriate as it was expected to be for each of the different asset classes; stock … performance of the inter-day and intra-day volatility models across various markets. The inter-day specification predicts and …

Predicting the one-step-ahead volatility is of great importance in measuring and managing investment risk more … accurately. Taking into consideration the main characteristics of the conditional volatility of asset returns, I estimate an … leptokurtic conditional distribution of innovations, produces the most accurate one-day-ahead volatility forecasts. The study …

We propose a model that extends the RT-GARCH model by allowing conditional heteroskedasticity in the volatility process …. We show we are able to filter and forecast both volatility and volatility of volatility simultaneously in this simple … setting. The volatility forecast function follows a second-order difference equation as opposed to first-order under GARCH(1 …