The objective of this paper is to calculate, model, and forecast realized volatility using high-frequency stock … volatility. Second, as a result of several test statistics for long memory in realized volatility, it is found that the realized …. This is important in modelling high-frequency returns and chosing the optimal sampling frequency when calculating realized …

Keywords: Fractional Cointegration; Fractional Integration; Whittle Likelihood; Long Memory; Realized Volatility … hypothesis in the option market implies a slope coefficient of unity in the implied- realized volatility relation, but the ordinary … realized volatility. The paper is organized as follows. In the next section we present the model and set up the local Whittle …