electricity market (SEM). We utilized several forecasting approaches ranging from standard conditional volatility models to …

simultaneously estimated. Results with realized volatility, volumes and number of trades of the JNJ stock show that significantly … superior realized volatility forecasts are delivered with a fully interdependent vMEM relative to a single equation …

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk … to forecast the volatility of the Moroccan stock-market index MADEX. We use daily returns covering the period between 01 …, as well as leading to a better understanding of the Moroccan stock-exchange volatility dynamics, especially with the lack …

broadly, our study dispels the notion that volatility is not forecastable at long horizons and offers an approach that …

formulate a volatility forecast of returns used as an input for determining some subjective views to be included in the Black …

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 …

volatility dynamics modeled as a HAR is augmented by a term involving quarticity in order to correct measurement errors in … accounts for a faster mean reversion when volatility is high. We argue that heteroskedasticity (volatility of volatility) and a …