In recent years, with the availability of high-frequency financial market data modeling realized volatility has become … a new and innovative research direction. The construction of “observable” or realized volatility series from intra … (daily) volatility. In this article, we show that the residuals of commonly used time-series models for realized volatility …

. Using a realized volatility measure as proposed by Andersen, T., T. Bollerslev, F. Diebold, and P. Labys. 2001. The …

-day ahead volatility forecasting performances of the MFV model and some other existing volatility models, such as the realized … volatility model, stochastic volatility model and GARCH, are evaluated by the superior prediction ability (SPA) test. The …

as realized volatility. <p> Analytically, the asymptotics of the proposed estimator is compared to the usual realized … volatility estimators. Lastly, we provide some simulation experiments to illustrate the results. …

ARFIMAX models are applied in estimating the intra-day realized volatility of the CAC40 and DAX30 indices. Volatility … clustering and asymmetry characterize the logarithmic realized volatility of both the indices. The ARFIMAX model with time … superior next trading day's realized volatility forecasts. …