, jumps, leverage effects, and speculation effects are taken into account in realized volatility modeling. We forecast five …

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump …

The presence of long memory in Realized Volatility (RV) is a widespread stylized fact. The origins of long memory in RV …

structure. This is motivated by the problem of finding a possible probabilistic model for the realized volatility. A Gamma … random error is proposed to cater for the non-negativity of the realized volatility. With many good properties, such as … on empirical realized volatility data of 30 stocks, where one third of the cases are fitted quite well, suggesting that …

Bitcoin returns is also found to be time-varying. We also study the behaviour of the realized volatility of Bitcoin. We … document a remarkable high percentage of jumps above 80% . We also find that realized volatility exhibits: (i) long memory; (ii …