world application that considering crude oil forecasts disagreement when forecasting volatility has important implications … conducted by the European Central Bank contain information for the Brent crude oil return volatility predictions. With a variety … forecasters disagreement into the GARCH-MIDAS significantly improves oil return volatility prediction. We demonstrate in the real …

-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 …