This is the first comprehensive study on the forecasting of the realized volatility of non-ferrous metal futures. Based … volatility series of aluminum is most useful in enhancing the accuracy of forecasts for other metals. While consistently …

financial forecasting. This paper deals with the application of SVR in volatility forecasting. Based on a recurrent SVR, a GARCH … to forecast financial markets volatility. The real data in this study uses British Pound-US Dollar (GBP) daily exchange …

. Stochastic volatility models remain outside this review. -- ARCH ; conditional heteroskedasticity ; GARCH; nonlinear GARCH …; volatility modelling …

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. …

We have examined the predictive power of GARCH model to forecast return volatility for Nifty 50 index. Realized … volatility, which is the sum of intraday squared returns, is used as the proxy for the true volatility. Three models of the GARCH … family have been used to forecast return volatility i.e., GARCH, GJR-GARCH and EGARCH along with their implied volatility (IV …

We introduce a new family of processes that include the long memory (power law) in the volatility correlation. This is … achieved by measuring the historical volatility on a set of increasing time horizons and by computing the resulting effective … volatility by a sum with power law weights. In the limit where only one component is included, the models are equivalent to GARCH …

Low-volatility investing is typically implemented by sorting stocks based on simple risk measures; for example, the … volatility sorts survives portfolio weight smoothing for mitigating transaction costs …

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of … the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …

This paper evaluates the VaR forecasting performance of the Markov regime switching (MRS) based volatility models … volatility models like the EGARCH or GARCH models with a skewed t-student distribution of return innovations can outperform the …