Koopman, Siem Jan; Jungbacker, Borus; Hol, Eugenie - Tinbergen Instituut - 2004
squared high frequency returns within a day). First we consider unobserved components and long memory models for realised … realised volatility models produce far more accurate volatility forecasts compared to models based on daily returns. Long … memory models seem to provide the most accurate forecasts. …