McAleer, M.J.; Medeiros, M.C. - Erasmus University Rotterdam, Econometric Institute - 2009
In this paper we consider a nonlinear model based on neural networks as well as linear models to forecast the daily volatility of the S&P 500 and FTSE 100 indexes. As a proxy for daily volatility, we consider a consistent and unbiased estimator of the integrated volatility that is computed from...