The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

In this paper we compared two distinct volatility forecasting approaches. GARCH models were contrasted to the models … which modelled proxies of volatility directly. More precisely, focus was put on the economic valuation of forecasting … accuracy of one-day-ahead volatility forecasts. Profits from trading of one-day at-the-money straddles on the hypothetical …